If possible to put this in any condensed form in a couple paragraphs, basically how we perceive these things is within a certain metaphysical framework inherited from and developed off of the first axial age in religion, beginning around 800 BCE. It was during this time, the time of Buddha, that religions saw that the material world was illusion and we should flee samsara and seek rest in Nirvana. That was considered enlightenment. Then you have the rise of the nondual schools much later, and so on.
But if you step back and look at it, it still speaks in a basic binary system of hierarchical progression, from the lesser, the fallen state, to the higher or enlightened state, that good is here, and evil there, and we must seek the good and flee the bad. Our minds work off these sorts of models of reality. But reality is far more dynamic and complex than these sorts of systems of thought, these metaphysical models. In reality, instead of a binary system, it's more like a ternary system of dynamism, which embraces more of an evolutionary path. It's not a straight line progression, but rather a looping and turning system, spiraling its way towards a greater and wider inclusion, adding to itself, passing the same points again and again, from every widening perspectives, etc. But that's not what we've inherited in our general frameworks based on binary systems of equilibrium.
So you ask why the world religions think the way they do, or rather express this existential question the way they do? Experience, and models that have been ingrained in our psyches that themselves influence our symbols and our approaches to spirituality, or the state of our being. Somehow, through it all we find our way, through blind luck it seems. As Ian Malcolm said in Jurassic Park, "Life will find a way. It always finds a way".
I'm sure if I spent more time with this I could say this better, but I just blather out there and see what sticks.