The method UI.ControlBannerReligionPopup.RefreshGoToReligionChoiceButton() tests if the empire is atheist or secular and only shows the button if it is. 

I suspect it is supposed to only show the button if you are NOT. This is probably behind multiple forum posts complaining about not being able to change state religion or not finding the button.

Trying the shortcut Ctrl + 5 is a workaround for now.