We've had this before, but we established that religions might bring inherent morality, which we don't want. No one's good and no one's evil.
gods are not necessary for objective morality, and in and of themselves would not necessitate the same.
I'm not opposed to the concept, depending on the lore and overall relevance. However, if their placement is simply an afterthought it would show through and simply dilute the core premise of the setting and situation. Both Warhammer and AD&D make full use of these concepts, however their background is that much more extensive as well as relatively established. For Dawn of Fantasy I gather most of the focus is more immediate in context, maybe dieties and gods will have a place in the developing scheme, but all of that remains to be seen.