As players live in the modern world but play characters in an ancient one, there are cultural differences which may be difficult for them to understand. As previously noted, a large portion of this is due to the structure of society, crime, and honor. A further important difference is the faith and by extension the existentialism of ancient cultures. Contemporary western society is secularized and I would wager that many players were not raised in a tradition of faith, so the following contextualizes faith practice and then the polytheism of ancient peoples.
Orthodoxy and Orthopraxy
Faith Practices are composed of orthodoxy and orthopraxy. Orthodoxy (ὀρθοδοξία) literally "correct opinion" refers to the creed of a faith. Orthopraxy (ὀρθοπραξία) literally "correct practice" refers to the conduct of a faith. Thinking of the two as "Myth" and "Ritual" would be a useful heuristic. In contemporary secular society, the idea of a "religious" person is commonly of an orthodox person aka "one who holds a belief of a faith" but a common hypocrisy is that they are not orthopractic aka "do not practice the tenets of a faith".
Consider this example of orthodoxy and orthopraxy from a secular belief of "Veganism". An orthodox person could hold in his heart "Animals are not the commodity of human beings", but an orthopractic person would be beholden to "Not consume products made from animals or whose production harms animals, and possibly have to avoid gelatin capsules in pills". You can't just hold a belief, it must be practiced.
The peoples of your referee's milieu do not just hold the belief that "Sorcery is granted to men who consort with demons" (orthodoxy) but also enact the practice of "Sorcerers need to be killed" (orthopraxy).
The religious practices that players would most likely be familiar through cultural osmosis is of transcendental universalist monotheism. There is a creator deity from whom all arises, who cares about humanity, who had extended a covenant to all men by which they would be able to transcend the mortal coil. The TSR cleric, which largely resembles a Christian exorcist or vampire-hunter, is imagined from this faith. In-fact in T1 the Village of Hommlet, the Church of St. Cuthbert, is likely a church dedicated to real-life St. Cuthbert of Lindisfarne.
In the Iron Age, most people were polytheistic, rather than a singular deity they had a pantheon that was venerated. Further diversifying belief there were cultural groups who worshipped a single god but acknowledged the existence of other gods, cultural groups who thought that the gods of other peoples were theirs with a different name, cultural groups whose members would require initiation into mysteries, and cultural groups who held widespread divinity of countless beings instead of a pantheon. Orthopraxis was of far greater cultural significance that orthodoxy.
In the absence of a universalist covenant, or in the case of a Judaism an ethnic covenant, ritual exists as a means of maintaining one's relationship with divinity. Monopoly of divinity, arising from the singular transcendental deity, can be thought of as the monopoly of violence by the ruling state. If there is no monopoly of violence, many agents whether they are individuals or bands are able to enact violence against your person. If there is no monopoly of divinity, many agents are able to enact the transcendental upon your person. They might save you or might damn you depending on their nature. The divinity which holds kindness towards man would be given offerings for protection and providence while the divinity which holds animosity or ambivalence towards man would be given offerings for abjurance.
Suppose that you are the war-chief of an ancient peoples, you wish to raid upon a neighboring peoples to win glory and booty. You have a protector deity, they have a protector deity, there is a underworld deity feared by you both, and there is a spirit of the rains. You would be foolish not to call upon your protector deity to help you in the raid. You would be wise to give offerings to the underworld deity to wreck havoc upon the enemy. You would likely be advised to make offerings to the spirit of the rains to obscure your retreat. You might even consider sending forth a scouting party to cause havoc in the temple of the foe's protector deity. If your raid was unsuccessful, and you had not taken such steps, you would be blamed for not enacting the proper rituals. Had you taken all such actions and then failed, then you would not be culpable as you were orthopractic.
Comment on Magic
An additional consideration is the existentialism of ancient peoples in regards to the supernatural and magic. Historically, magic was within the existentialist framework of a culture. One might think that the magicians of Europe, worked outside the orthodoxy of the church, when they read from their grimoires. However, the Key of Solomon, a 15th century text which details conjuration and invocation of the spirits and the dead and demons to compel them to one's will, does so through the power of God. The distinction between the "magic-user" and "cleric" which occurs within TSR was not a very historically supported distinction. Though one could think about them in terms of Moses and the Magicians of the Pharaoh. Moses works his miracles through the power of God, while the methods of the Pharaoh's Magician's are unknown. Historically though, the power to perform "supernatural" abilities was restricted to those inducted into exclusionary mysteries or practices because only they would be taught them.