Many people live stressful lives, a little escapism is rejuvenating.
Sometimes reality is fucking horrible. Molested and abuse children, an abused and/or cheated on Spouse. Or maybe someone pounded by misinterpretations of religious scriptures.
Plenty of reasons I suppose.

Don't know. I usually try to stay away from it. I'm more comfortable in a book or on the computer.

Reality is complicated, ever changing and often unpleasant. So,many peopel choose a stable fantasy such as religion, because it is simple, doesn't chane (ate least not noticeably over theri lifetime), and the fantasy is much more pleasant than actual realities.

Because its a scary unfair world.

It depends on ones reality. If you are Syrian right now your reality sucks. If your battling a fatal disease your reality sucks. I could keep going, but l think you get my drift.

People aren't /can't make the lives they want. Our society has put far too much pressure on everyone. People need an outlet.

Should I just decide what you mean by that?

One can create their own reality to suit their needs. Of course, not the best way to approach life. IMHO

IDK? Like daydreaming?