Catholic priests did more than flagellate themselves, they took vows of poverty, hunger, obedience, etc.. but those vows have a meaning.
First to be near their god, and feel the pain that his God did, when he sacrificed himself to save humanity.
And second, to feel, and be near the people who suffer everyday, and not let corruption copulate with their ideology. Something that sadly happened and everything went to shit on one of the worst eras in human history.
Putting a dildo in their ass to have their blessing, is not a vow of some kind, or feel the pain that her goddess had before she saved humanity. It is just pure morbid that Athia accepts. And the father is not a fan of taking vows of any kind.
There are a lot of ways to get the "spirit of sacrifice" without taking a dildo in their ass. Help Penny to farm, you will see.