OK, here’s a more detailed ramble on the game’s themes and what I’m trying to do with the stats. Come back at me where it doesn’t make sense.
“Any rebellion is defined by one choice, kuria: what to preserve, and what to tear down.”
– Horion Leilatou
Sharp-eyed readers will already have noticed the reference to the game’s title here. The choice of rebels is a choice of how much of the social order to keep. Your choice will vary based both on your overarching goal (are you a radical helot like @idonotlikeusernames who wants to destroy the caste system root-and-branch, or a devout, cosmopolitan noble who’d just like a rather more compassionate and just version of the current Hegemony) and on your judgement of how far you can tear things apart before your rebellion devolves into chaos, probably eats you, and at the very least dissolves your vision for a new social order in anarchy. The more radical your goal, the more you’re in danger of the latter outcome; but even less radically intentioned rebels could end up there.
So here’s the simplified arc of the XoR games: mobilize followers, tear down the old order, stop tearing down at the right point (before going off the anarchy cliff), and rebuild your new order. (And then see how you feel about it, and whether it’s justified all those unsavory compromises along the way.) National identity and religion are core stats because I think they have interesting implications for all of those steps; and while reality is more complex than the opposed stat, I think the opposition dynamic is close enough to be justifiable.
Because the Karagond order is cosmopolitan and religious, nationalism and skepticism are natural tools to mobilize people against it and break it down, as they were for the French revolutionaries. @P_Tigras, I do think the evidence suggests that their skepticism was a strong net mobilizer for them, tapping into intense and widespread anti-clericalism – even while it was also obviously a key reason they triggered intense resistance among some populations. It will be even more so in the gameworld, where the Nyr have made skeptical humanism a much better-known and less unthinkable religious option than it was in early modern Europe.
Of course, religion can be used to mobilize people against the status quo, too – even a religion like the Xthonic one, which pretty much literally divinizes the existing social order, has the flaw of compassion running through it. And for the early going of the rebellion, a skeptical cosmopolitan MC could fall back on a cult of personality (with high CHA) rather than attracting people to a specific idea or value – plenty of rebels have historically made that work, at least for mobilizing troops to the rebellion.
Cosmopolitanism isn’t a strong mobilizer of troops. WulfyK is right that you’ll get fewer Wiends and Nyr joining up if you have a reputation as a Shayardene nationalist, but I’ve no intent of fully balancing the early, mobilization-oriented games by treating cosmopolitanism as more than it is. There will be successful paths for most stat combos, but they won’t be equally easy. Nationalist (and to some extent devout) MCs will attract a bigger following. It’s in the later games, around stopping the collapse and rebuilding, that I envision cosmopolitanism proving more useful.
My model for cosmopolitanism isn’t contemporary Europe or coastal America, but Empires like the Qing (and many other Mongol offshoots) or the Hellenes, who didn’t raise troops on the basis of their cosmopolitanism but did just fine militarily. I’d also put Napoleon pretty solidly on the cosmopolitan side of the spectrum, by contrast with the strong nationalism from which he emerged. Most successful empires end up cosmopolitan, and many start that way. It’s a value that keeps multi-national empires together. Like I said back when:
It’s not just coffeeshop intellectuals; there’s a koine-speaking, Karagon-assimilated administrative class across the continent, mainly comprising low-level priests and nobility. They like cosmopolitan values and would dread the Hegemony’s disintegration into nation-blocs which lose their common language and high culture. Having them on board with your rebellion will be very helpful in keeping the Hegemony together more or less within its current borders (just as countless Central Asian conquerors found the Persian-speaking educated class indispensable, and over a generation or two generally ended up speaking Persian better than their original Mongol/Uzbek/Pashtun mother tongue).
Of course, you may not want to try to keep the multi-national Hegemony going, as @Protagonist said. It will be easier to restore internal order when you’re only trying in your little bit of the continent. But there will be more external problems. As others have suggested, Karagon and the other provinces will be desperate to retain access to Shayard’s food (and helot blood). And if one or more Wards drop in the fighting… well, Halassur’s a long way off, but the Shayardene Coast is much less rugged and more prosperous than Erezza. So if you just focus on liberating Shayard, expect a bitter fight on pretty much all your borders. Or do really, really well at making friends with everyone from the other provinces/countries over the next few games. 
In Game 3, you’ll have the chance to see the Nyrish capital… which is overshadowed by a mountain that the Karagonds dropped on the former Nyrish capital. And if there’s one thing they’ve got plenty of in Karagon, even after the breakdown of interprovincial trade, it’s mountains.