They are beliefs

We all don’t know

It’s a thing

A thing, or noun, would be "hammer" and it is not capitalized. "Craftsman Claw Hammer" is a proper noun and SHOULD be capitalized. The way "urban legends" is used in that sentence makes it just a noun. Had you said "Religions should belong to the Urban Legends Organization", that would have made it a proper noun.
'

And yes if you’re wondering I’m an atheist