Pat, one of the most important benefit of religion categories is associating a profile with a local church or synagogue, because that is where you will often find important genealogical information like births, baptisms, marriages, deaths, burials, as well as the names of immediate family and even cousins. So if you know what local church someone participated in, it's important to create a category for that church if it doesn't already exist.
Then that local church can be categorized both by the denomination and secular geography.
If you focus first on the group that the profiled person is associated with, you don't have to solve all the complex issues related to what denomination or group came from where. If someone worshiped at a church called Cornerstone Messianic Church, then that's what the category should be. And if all you know about the church is that it is in Dallas Texas, then nest Cornerstone under the geographic category for Dallas, Texas.
As I mentioned above, Category: Protestants should only be used when you know they were a Christian religious observer who is not Catholic and not Orthodox, but you don't know anything else about their faith practice.