On one hand, I think it would be interesting to learn about alien religions. Mythology can be fun to talk about in hypothetical terms. I've even made up a few of my own religions for the video game I'm making. On the other hand, religion could make them irrational, obnoxious, or even dangerous. Actually, if they don't have religion, it's probably best if they stay far away from us, lest we infect them with our religions. Maybe that's why no intelligent life has contacted us yet.
However, I think it's highly likely that intelligent life would have developed several religions throughout its history, especially if they're social beings. Religion works because it offers a sense of belonging for those at the bottom, and a sense of power and control for those at the top. If they're not social beings, I doubt they're a space-faring species. I doubt a planet of hermits could invent any advanced tools, much less a space ship. If they're curious about the world around them, it's likely that they would have considered the possibility of supernatural forces prior to developing scientific explanations. I'd say it's practically inevitable.
But if they are more advanced than us, have they outgrown their religions? To a degree, maybe. Perhaps religions have been limited to a select few members with little power, or their religions adapted to their changing standards. I expect they'd still have some religions lingering on, refusing to die, preying on those who drew the short sticks in life or desire some grand meaning to their existence.