I think it’s a bit more complex than this.

I think, in religious households, instead of being taught to be a good caring person you are taught to be as selfish as possible while staying within the rules.

So it’s not that religious need eternal threat of damnation, it’s that they have been taught to be as selfish as possible.

So I don’t think they lack morality naturally but they have been taught to be horrible people who obey laws.