In the case of made-up religions / custom empowerment, the IMMs tend to "adopt" you. It's been stated that generally one Immortal picks up the follower as whatever persona is necessary, but once they do, they "own" you and the rest of the IMMs leave further interactions up to that person.

This can be good or bad, depending on how interested and/or available the person that picks you up is. Of course, you're much more likely to get tossed to someone with more time as a roll-your-own religion guy than if you followed an existing religion.

The IMMs don't recommend it, but I've actually had pretty good luck going this route before. I've definitely had more empowerment characters fall apart because I couldn't find Lord Xyz than I have because my made up religion didn't garner any attention.