Why doesn't it make sense?
Let's pretend God is truly almighty and knows who will end up in Hell and who will end up in Heaven (and who will be immediately destroyed after Judgement day) and thus ultimately it means no human has true free will. So humans have no free will but religion teaches us to act as we have free will. A dilemma, right?
But how is that different from a naturalist atheist point of view? There's not a single proof that humans have free will and yet we all act as like we have free will. Every person makes thousands of moral decisions in his life as if he has free will and there is always somebody (including yourself) who will hold you responsible for your actions if you made a bad choice in a given situation. Exactly the same dilemma. Don't pretend that atheists are any smarter regarding this dilemma.
The bottom line is that it's not religion that doesn't make sense, it's the fact that we don't have free will that doesn't make sense.