How should one interpret the religion lens?

Solution 1:

The city detail for religion does seem to be bugged as it really often does not show the current primary religion's numbers. So it will only list the number of citizens of religions OTHER than the city's primary religion, if it has one.

You are right about the circles, it shows the % of every religion.

As for spreading faith, it's not that it didn't work, but every time you spread faith, you give the city a certain amount of religion points or pressure. The game does not indicate anywhere how much pressure/points is needed for the next citizen or how much every religions have or anything really, so it's really hard to tell what is actually going on. It just means your spread wasn't enough to convert another full citizen. Converting citizens gets harder and harder if most of them are already following a religion.

Lastly, the --> next to Confucianism in Magdeburg shows that Confucianism is on the rise in that city most probably because of pressure from nearby cities following Confucianism. Every city following a religion gives off some pressure to nearby cities for that same religion (similar to how it worked in Civ V), this pressure can be enhanced through beliefs and I am almost certain the Holy City gives off more pressure than others. Again I am not sure how most of this works as the game explains very little, but the more citizens follow a certain religion, the less likely the pressure or religious spreads seem to affect that city for that particular religion.