Honestly I think he just says he's Catholic to be politically correct. I have no doubt he is religious but from reading his books, his relationship with God is very personal, and he doesn't adhere to any of the strict practices. I'm sure he would love to be really critical of the Pope and that whole gang but it's not like he could get away with it in Italy. He might be "free" now but he still has to be careful what he says. It probably would have been easier if the new album had flopped.
http://www.youtube.com/watch?v=J2NvDChMfKI
In that recent interview in English (it's hard to hear with the woman talking over it in French) he also says "I'm a Christian/Catholic and it's not fun to hear the Pope every Sunday reminding people that homosexuality is a bad thing and not accepted, and in politics they do that as well". I think "not fun" is an understatement... he just doesn't want to attract more controversy.
On one hand it's disappointing, but he can't change the whole country on his own. Simply being gay is already bad enough that it wasn't even mentioned in the two hour special/interview RAI2 aired last month. He has to go on this LA7 channel to be able to talk about it, it's sad. So I can see why he continues to filter what he says.