The right of freedom of religion is what gives you that choice. In western democracies at least you can choose whichever religion you like. You can choose to have no religion if that is what you want.
It definitely does have a practical application, as it is supposed to stop your government from arresting or killing you because you don’t follow the religion dictated by the state. It was formed to hopefully stop pogroms, sectarian violence and a repeat of the Holocaust.
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