the benefits of belonging to a religious community are greater in the U.S. than in Europe in part because our welfare state is smaller, and religious participation provides both tangible and intangible forms of security that are more valuable in a society where the free market is more freewheeling and the welfare state weaker.
I think that's right, and would add the following historical context. People and society need a safety and support net. In Europe, for centuries, that net was offered by the Church. But for many reasons the Europeans grew disillusioned with the Church as a provider of such services. These reasons included religious wars, but even more important, I think, was the undue political influence wielded by unelected church elders, particularly in countries with Established churches. And so anti-Establishmentarian Europeans quite self-consciously built up welfare state institutions as an alternative to church power. it's no coincidence, for example, that Bismarck paired the building of the first state-sponsored workman's comp programs with the Kulturkampf, a vicious anti-Catholic campaign.
In America, the formal disestablishment of religion meant that religious leaders have rarely exercised much if any secular power, which in turn has meant that religion had few political enemies who would be interested in systematically undercutting the church's basis of support by replacing welfare function traditionally offered by the church with similar services offered by the government.
This is one reason why the religious right has played a very dangerous game over the last generation in becoming an active, partisan political force. It has very much increased the incentive of many politically active Americans to do things that can usurp the bases of support for these political competitors. In much the same way that Republicans support tort reform as a way of undercutting the financial support of a key democratic constituency (trial lawyers), Democrats have every incentive to support reforms that will fundamentally undermine the appeal of religious right organizations, since these organizations are political enemies. And that's ultimately a more dangerous game for the religious institutions than it is for the Democratic party. It's not hard to imagine, for example, a major effort by Democratic activists to pull the nonprofit status from any church whose preachers or officers take partisan political positions, or use the pulpit to promote political outcomes.