This essay from over a decade ago in Virginia Quarterly softens my opinion even more. It addresses his religious beliefs and approach directly, and brings in some things I did not know. A sample:
Sounds like a church service, doesn't it? Protestant, to be sure, and unless one wants to count Powdermilk Biscuits as the bread of communion, noneucharistic as well, but a kind of church service nonetheless. The people assemble weekly both in the hall and around their radios. Musicians on stage take the place of choir and organist, with the audience often invited to join in the singing. The messages and greetings that Keillor reads midway through the program are not unlike church announcements, letting people know how others in the gathered family are doing. All this culminates in good Protestant style with Keillor's sermon, er, monologue, which sounds like it is being born in the pulpit but actually is well prepared and even lasts the prescribed 20 minutes. "All comedy is preaching," Keillor has said, "but it can't show its hand." As for the particular brand of preaching and worship that A Prairie Home Companion represents, "Our show down deep in its heart is a gospel show."