I had no idea he was until you just told me - Danes tend to not speak about religion much.
But I found this article, from last year (in Danish) that some may find interesting.
Mattias Skjelmose var aldrig særlig god til noget. Han var, med egne ord, en taber, der ikke rigtigt havde noget kørende for sig. Men så fandt han cykelsporten, hvor han kunne blive en vinder, hvis han bare arbejdede hårdt nok. Vi cyklede en tur på hjemstavnen Amager med danmarksmesteren, der...
www.euroman.dk
Since he's a devout Catholic, it seems like a missed opportunity he was not nicknamed "Crusader" when he rode in the Dannebrog jersey

- But then such a nick name may be polarising these days