So how exactly are spheres and religion supposed to work IC in CF? Do people follow the religion of the sphere they were born under only or can they worship a god regardless of the sphere?

For example, if someone is born under the sphere of Strength is it normal for them IC to worship Drehir? Or do all followers, both PC and NPC only worship a specific god because they just so happened to be born under one of the spheres of influence for the god?

But is not mandatory. You may follow a god being out of his spheres, there are many examples in PBFs. Just make sure you have a solid reason and RP it well.