Your program is for engineering. Your prospective student wasn't applying to a Doctor of Ministry program, or to a PhD program at a divinity school. So establishing their bona fides in their religious practice wasn't a necessary part of their application.
And, in my experience as both an engineer and a minister, the Holy One doesn't manipulate reality to make people successful, but instead gives people strength and courage. My point is, your candidate's declarations are even a little suspect in a div school context.
You passed on this candidate for reasons of competence and experience, just like you passed on several other candidates. You have done your recruiting well.
If the candidate comes back and asks for advice on how to improve themselves for future applications, you might advise them to upgrade skills, and spend more space on their specific qualifications for YOUR program.
An edit to my answer.
Your recruiting issue would be different if the candidate were clearly the best choice for your lab. But you can still handle this in a way that's respectful of the candidate and the rest of your team (not to mention yourself). Here's my suggestion about this:
Tell the candidate you're delighted they have spiritual resources to sustain them through the challenges of a PhD program. "Since you brought it up in your CV..." is a good way to open the conversation. Confronting the unknown in the natural world is the stuff of earning science or engineering PhDs, and a student needs strength and courage to keep at it.
Tell them their colleagues-to-be have a diverse array of their own resources for doing that. Make it clear that your group's behavioral norm is to respect each other's ways of working, including their inner / spiritual / whatever resources. And, maybe emphasize that your group members learn a lot from each other.
If the conversation goes further, say something like this. "If you try to convert / proselytize / evangelize people in my group, you are likely to annoy them. That will do your religious cause far more harm than good. And it violates our behavioral norms."
That sets expectations and lets the candidate decide whether your lab is a good match for them.
Footnote: many people embrace religion as a way of embracing the mysteries of life. Others embrace it as a path to certainty. And, PhD-level natural science work is like the former, not the latter. Hence my suggestion to mention confronting the unknown.