If I can try to be somewhat serious... this is one of those things where lots of silly (or at least misguided) things overlap and generate a controversy out of nothing.
1. The FA probably shouldn't need to push things like rainbow captain's armbands. It's like big brands adopting rainbow logos in Pride month, it's not like the organisations really care about the message, it's about being seen to be behind it.
2. Rules like no political, religious messages etc are those well-meaning ones seeking to stop anything controversial but end up becoming political (and controversial) themselves. It's like how Eurovision didn't want to kick Russia out of the competition at first because it would be a political move, but then when a host of other countries threatened to boycott they backed down and did it anyway, because the message was too big for the ban.
3. A footballer isn't being denied freedom of religion if they can't write a special message for Jesus on their clothes. Nor even freedom from expression, as these are rules made up by a private organisation, not a government agency.
4. On the other hand, I don't think it's particularly offensive for a religious person to wear slogans or symbols in support of their own beliefs. As an athiest I find it weird to be that into it, but knock yourself out.
So in summary it's like this:
A message of love for Jesus shouldn't be a problem except the FA have banned political or religious messages because they could include things that are controversial even though they run their own campaigns that include inclusive messaging that really shouldn't be controversional but somehow is; also, his rationale might have been to undercut or subvert the intend rainbow message of inclusivity but also might not, and there's no way to know, but of course he could have just not worn the rainbow armband, but maybe that would have been worse, or not who knows; but I'm sure whatever your view of any of the above you'd agree that the armband message doesn't really need to be written anyway because either Jesus knows that Guehi loves him regardless of whether it's written down or doesn't even exist except as maybe a long-dead man and is therefore unable to react one way or the other to such a professed ideal.