'This then leads to why don't other advanced species have signs of religion, or do they?"
What other advanced species are you talking about?
Relgion is something I don't spend time researching, however I think religion dates back further than we think.
For example when I was at school (so many years ago now lol), i learned that the indignous people (aboriginies who island hopped) who lived in Australia approx 40,000 years ago (probably the earliest bone findings) had things they worshiped as gods. The "dreamtime" stuff about how our spirits belong in this life and after life through dreaming. Most these stories talked about creation, animals etc.. From memory they also had a similar story to noahs ark about huge floods (not sure what the full story was).
To be honest that is about all I remember, so don't want to write anything further that may be totally wrong.
Modern religion probably dates back to the egyptians/persian times and has since evolved from those stories. ie chrstianity, islam and hinduism all seem to have similar stories in them, which had varied over time. e.g angels vs people with powers living in another plain of existance.
