Why should everyone belong to the same religion?

There are a couple of reasons. At the time, the Catholic Church was the most powerful entity in the world. Most nations strove to get on their good side. Clashing with the church or religion only brought conflict, especially if a majority of your population practices that religion.

Another is unity. Throughout history, different religions have always conflicted with each other. They tend to start wars. Having only one religion would prevent this. Of course, it is impossible to do so, and usually causes more problems than there were to begin with.