Because one notable thing about evil people is that many of them
don't identify themselves as being evil or recognize their own wickedness. Everyone is the hero in their own story, after all. So they ignore, they deny, they justify, they rationalize or they generally find reasons (good reasons or false ones) to do the unsavory things they do. Maybe Strahd's the same way. "I do what is necessary to keep the county of Barovia peaceful and orderly," or "The people cannot judge me, because I have sacrificed much for them throughout the centuries," or even "I have earned the right to do as I see fit, and no one can tell me otherwise." Meanwhile, more peasants get dragged into the Count's dungeons for whatever reason--however just or unjust--and not many of them return.
So Strahd won't play the Devil and set up a deliberately evil church if he doesn't see himself as having that kind of moral polarity. But, all the same, he probably wouldn't want to keep those pesky, preachy clerics and paladins around, not when they insist on condemning his practices, sowing rebellion (in the name of righteousness or whatnot) and hurling vials of holy water at him....
