I would make the case that Nietzsche was operating on the same core insight about religion as Durkheim: that we cannot make sense of them as sets of epistemological claims, we have to understand them as psychotechnologies for social cohesion. So, Durkheim says religions are defined by what a community enacts together as holding sacred, that is makes holy, set apart, elevated, unquestioned. Discussed here: What sort of thought is nihilism?
Another way to think of it is what values we make transpersonal, and grant symbolic immortality to, discussed here: What are some philosophical works that explore constructing meaning in life from an agnostic or atheist view?
His quotes from that section, on the topic:
"I have a terrible fear that one day I will be pronounced holy: you
will guess why I publish this book before; it shall prevent people
from doing mischief with me. .. so far nobody has been more
mendacious than holy men—the truth speaks out of me.
that has hitherto been called "truth" has been recognized as the most
harmful, insidious, and subterranean form of lie; the holy pretext of
"improving" mankind, as the ruse for sucking the blood of life itself.
Whoever uncovers morality also uncovers the disvalue of all values
that are and have been believed; he no longer sees anything venerable
in the most venerated types of man, even in those pronounced holy; he
considers them the most calamitous type of abortion—
of the "beyond," the "true world" invented in order to devaluate the
only world there is—in order to retain no goal, no reason, no task for
our earthly reality! The concept of the "soul," the "spirit," finally
even "immortal soul," invented in order to despise the body, to make
it sick, "holy"; to oppose with a ghastly levity everything that
deserves to be taken seriously in life"
Nietzsche understood that a previous eras religion had been dynamic, grounded in oral traditions and the cult-followings of mythological ideas, raised into symbolic immortality. With the rise of book-based religions only footnotes were left to write to the creation of values. Discussed here: Nietzsche's Death of God: Why Zarathustra?
The problem with that, is everything is fine until it's not. A highly militarily unified empire, like Ancient Rome or China, could have multiple state religions. A highly military fragmented but culturally unified domain like the Holy Roman Empire, or the Islamic world of competing powers of Sunni/Shia Arab/Farsi, relied on a specific orthodoxy for a given degree of unity. You can't have re-narration, only catastrophic failure, consigning all that cultural 'metis' to the scrapheap.
Nietzsche's model is explicitly the prophet, not the church-elder or theological-imperialist. He is saying the future binding power of ideas, the future basis of social cohesion and resistance to nihilism and anomie, is in recovering a mode of living the attempt to reach ideas worthy of symbolic immortality. Not deference to a past era's codification of those. A lived witnessing, of what can reignite our will for life.
This is not about reading the right book, following the right ritual. This is about personally going on a journey:
""Thou-shalt," is the great dragon called. But the spirit of the lion
saith, "I will."
"Thou-shalt," lieth in its path, sparkling with gold- a scale-covered
beast; and on every scale glittereth golden, "Thou shalt!"
The values of a thousand years glitter on those scales, and thus
speaketh the mightiest of all dragons: "All the values of things-
glitter on me.
All values have already been created, and all created values- do I
represent. Verily, there shall be no 'I will' any more. Thus speaketh
the dragon." -Thus Spake Zarathustra
Nietzsche was obsessed with what he saw as key flaws to Christianity: slave-morality, and preferencing after-life over life. The last thing he would want is people to take his words as holy writ, the guaranteed recipe to reach a happy and peaceful conclusion to your life. He was furious with asceticism, and the resistance of passions, as the way to resist pain by resisting pleasure.
Using Durkheim's ideas, and the idea of culture as the rationing of symbolic immortality, I think we can work out Nietzsche was really battling a straw man, a distortion of actual Christian ideas albeit a powerful one, that's discussed here: Why should a theist care about what happens to the world after his/her death?
But his point was, be a prophet, a culture-hero. Don't found a religion, live your relationship with the divine. Don't be a footnote interpreting someone else's book, write your own. But he knew what happened when people tried that before, people clung to chanting the recipe to avoid tasting the food.
Holy is social-binding. Holy is symbolic immortality. Holy is a paper rice cake, that cannot satisfy hunger. Live in witness of your anomie, of it's social decohering, and come to understand the direction of lifeliness, of the will to power, is something we must judge ourselves, in our own lives. Or, become a society of the Last Man, with no appetite for risk, or ability to dream, without individual struggle or greatness in transforming society (eg through art).