There's a critical analysis on this topic in the EE2 forum, in the showcase thread. Have you read that?
It's certainly the most theologically diverse. The religions present on the show are currently- ambiguous Christianity (the exact denomination of the Springfield church isn't divulged, but the presence of Mrs Lovejoy indicates its not Catholic), Hinduism for Apu and Manjula, Judaism though Krusty and his father, Buddhism (did Lisa end up converting back? I only half watch the Simpsons- it's turned to crap really.) and probably a few more.
However, they do make jokes about the Catholic Church and Jehovah's Witnesses.
The Islam question- I suppose it could be to do with the fact that the show is primarily satire. There is a perception that Muslims don't have a sense of humour about their religion, and it's better to leave them out than risk offending them seriously. All the religions on the show have jokes aimed in their direction occasionally- 'Jebus', Homer dressing up as religious figures (Ganesh, the Buddha), Krusty's bar mitzvah special. But to make fun of Islam might be more trouble than it's worth in today's political climate.
On the other hand, they might have a show featuring an Islamic character in production now. It takes six months to produce a Simpson's episode, not to mention the delay between airing in America and Aus- if they did decide to add one, it would be months before we heard about it.
And they didn't include Buddhism until last season, I believe. They could be working their way through slowly.
