I believe there is a much simpler explanation. Let's say you are the artist responsible for the paintings. You convince an acquaintance or a group of people to go down into the cave. They are afraid but they follow you. When the group arrives they are astounded. They see life all around them represented by symbols. They are transfixed in some manner and when they return to the surface they look at everything around them with a different awareness.They think of themselves differently. This perhaps is a more appropriate model for immersion than entertainment. It does hold some classic psychological thresholds. One is removed from daily life. One goes through a passage of some sort to arrive at the immersive environment. The experience changes ones awareness upon return.

Within our commodity driven global world this sort of experience is rare indeed. Can you imagine trying to convince Disney to fund an immersive project that will change peoples awareness of life and elevate their consciousness in a profound manner? Not likely. Yet the desire for this type of evolution of awareness is deep within humanity.

Indeed progressive and changing awareness is one of the constants in human life. What we tend to categorize as a religious experience is a shift in consciousness. That shift in consciousness is also the domain of the artist. The artist seeks out that awareness and tries to communicate or create the same shift in others. Repeated ritual behavior, especially religious practices, tend to be a commemoration of a shift in awareness. The ritual somehow tries to evoke the experience without understanding the cause of the shift. This is usually a hollow exercise that is couched in the words of mystery, initiation etc..

If my supposition about the effects of immersion in a cave painting environment is correct, no religious or ritual behavior was involved. However I am assuming the meaning of religious practice to be the sense one gets now in the 20th century. Perhaps in the primal past of humanity a gathering to advance the awareness of a tribe would be a ritual or religious practice. We have no way of knowing.