I imagine most people who have seen him on everything from Tin Man, to Justified, to the Arrowverse aren't aware of the fact that he's an extremely religious Christian and takes that part of his life really seriously.
What I personally love about him, though, is that I often meet Christians who are apparently terrified at the idea of fictional stories representing evil (eg. witchcraft, demons, the devil, satan, serial killers, etc.), but Neal clearly understands that his job as an actor is all pretend and seems to embrace those elements in fictional storytelling. In this clip, you can see how he contextualizes his often villainous roles as the very contrast that enables heroic characters (and for him at least, Christian characters) to shine as good guys.
If he behaved like a lot of the church ladies out there who think that we should ban any TV or Movies that depict the devil or non-supernatural evil on screen, his immense talents would go to waste. Likewise, if he abandoned Hollywood outright because he saw it as incompatible with his faith, that would be a huge shame.
But I'm serious, I've worked with people who veto tons of stuff in storytelling (including ghosts and ouija board plotlines) because they think it's an affront to god. As an atheist, I find that to be maddening first and foremost because it's nonsense... but even if I did believe in their religion, I'd say that there's a radical difference between pretending to be a character for the purpose of telling a story and serving a positive theme or a message (eg. good triumphs over evil) and actually being the bad guy.
People who don't get that separation between art and artist are confused. The world is a much better place because Neal McDonough is not confused.