Do both 'The Path' and Kelsier's religion have actual gods? I remember Sazed talking about Kelsier and Vin in whatever afterlife exists, but are Kel and Vin also proper gods or just dead hero mistborn?
This is discussed in the next books.
Basically, you can look at it like Hinduism and Buddhism. Hinduism has gods, and many Buddhists don't deny those gods exist, but they follow a different path. Obviously, the doctrines and practices are not the same as those two religions, but the relationship is somewhat similar.
It does get complicated in that Harmony doesn't particularly want to be worshiped, but people want to worship him anyway, and find ways to sidestep into religion. Survivorists worship the Survivor, but don't QUITE treat him like God.