Fashion is art.
And Catholicism has always been associated with art.
Met Gala is done by the Metropolitan Museum of Art, hence why it's so extravagant and themed each year.
I'm catholic and I didn't have an issue with it, felt quite happy that it was expressed and used as something so positive for such a massive event. It's quite a good promo stint for the Catholic Church to be honest as it brings attention back to it. I'm not religious at all, but it's a good marketing strategy. Bringing awareness the Catholicism and fashion again.
Sure, we've all dressed up on Halloween before haven't we? And know people that have? As angels, priests, nuns, demons etc. It's the same concept it's just the rich & famous doing it for an art event.