Those who have the made the active choice to become a minion of the lichs’ have done so for various reasons: A desire for protection, revenge or because they simply fear death, some people have chosen to give their soul to a necromancer.
The necromancer stores the soul within a special container called a phylactery. When they die the soul leaves the body as normal and the magic holding the body together dissipates after which the body disappears as normal. The soul remains within the necromancer’s phylactery and can be brought forth again by the use of magic to create a new body.
This gift of eternal life is known by the Undead as finality.
Once someone has become Undead, religion becomes unnecessary. Religion is all about protection of the soul, specifically protecting it in the afterlife, but if you will never go to the afterlife, there is very little point to religion. There is however a respect that is learned by each newly created minion that is taught to them by their creator regarding something known as the Great Below. The Lich King teaches that the power of the Great Below flows through him and into all of his followers. Through him they are all connected. He states that this is where the power of unlife permeates from and as such, by his force of will and through his followers he will eventually bring the great below to this realm and all life will be forfeit. It is on that day he teaches that the Undead will rule supreme and finality will be the only life.