As with many other themes in the novel, Jim’s family enacts ideals—all that is good in American society. His grandfather and grandmother practice religion quietly and are tolerant of the religion of Mr. Shimerda, for example, which we see when he visits their house of Christmas. Indeed, the Burden celebration of Christmas, which is homely and simple, based on a short prayer, family love, homemade presents, and good food, contrasts with Mr. Shimerda praying in front of their Christmas tree and (somewhat shockingly) not spending Christmas with his own family
When Mr. Shimerda kills himself or dies (depending on your interpretation of the scene) the entire saga seems to suggest that the Shimerda's particular brand of religion is entirely rigid, unwieldy and unfair. The book even includes the scene of Mr. Shimerda being buried at the crossroads, a scene from Cather's own life.
Though your question s about religion, your description is less about religion and more about cultural traditions. And the Shimerdas are actually Catholic, though they may have some Orthodox practices.
My Antonia is a book loaded with religious symbolism. The morals in the book are strongly grounded in religious ideas and many symbolic moments are achieved via allusions to the bible.
One such example is in Chapter 7 Book 1, where Antonia and Jim are digging and playing innocently in a garden. A snake appears and Jim kills it with a spade. One could compare this scene to Genesis chapter 2, the story of Adam and Eve. In Genesis the snake causes Adam and Eve to lose their innocence. However when Jim kills the snake it symbolizes that Jim and Antonia will not lose their innocence, at least in their relationship with each other. It will remain pure.
As to which religion is shown in a better light? That is difficult to say. My Antonia is a story that is profoundly about the founding of America and the immigrant's tale. It deals with the roots of American heritage and so those ideas that first founded America are the most purely American. Therefore, I would say the Shimerdas' orthodox beliefs are considered more favorably and more pure by the book then the "socially accepted" beliefs of the Burdens.