Well I've got a book on Kant somewhere in the house, but it's been years. I do remember liking Kant a lot better than many philosophers (though I have affection for poor struggling Descartes.) But I think I'll stay out of that part of the conversation.
Magic presupposes that reality, an ontology that allows for it. So all fantasy presupposes a transcendent reality of some sort that underlies the world in question. I might be mistaken, but find me one that doesn't. Even less overtly magical worlds as in The Mists of Avalon, still are religious according to this interpretation.
This part I got, I think. The insertion of magical, paranormal or otherwise fantastic elements, in the creation of an imaginary world or the portrayal of the real one, does make reality broader than reality, lays open the possibility of evil or good or at least powerful forces beyond human free choice and action. So all fantasy stories do have a spiritual or other plane framework (though I think we're better off if we don't call it "religious.")
But, I think that has less to do most times with morals and the concepts of right and wrong, or even of social order, than it does with the fact that we like the idea of playing with reality. Reality is boring, at least for fantasy writers, so we jazz it up. Some of us may be exploring political issues, moral/ethical ones, religious ones, psychological ones, or just pursuing a really nice romance with exotic dragons. We do touch on a lot of themes that humans have been kicking around for ages, but not all of these are religious and concerned with transcendence. They are quite often concerning moral issues, but not very morally monochrome.
But yes, if we have magic and a magic system, well then we have a philosophy and understanding about that magic system, and if we have that, we may have a belief system, a creed, a religion, a holy cause, etc. So fantasy may not be able to escape questions of belief (as opposed to religious faith,) but I don't know that this says anything about the writers. The beliefs they are writing about are not necessarily what they believe themselves. That's certainly the case for me.
