This is a description of what happens in that episode:

Fred Rogers’ religious foundation becomes apparent in this episode as he hears an explanation of what a pretzel represents: Originally, pretzels were “given to children for knowing prayers” in Germany. As they are made, pretzels are first shaped “like a great big U. Take one [side] and cross it over the other. This is to represent children’s arms praying to God. Then we take one and fold over the other. That represents your parents – mom and dad. We pick up the ends and fold them on back.” When Mister Rogers asks if there always has to be three holes in a pretzel, he is told that the three holes represent the Holy Trinity.

It sounds to me like religion is discussed, but no one is told what to believe. Just why a pretzel is that shape. It doesn’t seem especially different than hearing any other myth. I’m guessing that little kids might want to know why a pretzel is the shape it is and that is the reason.

I wouldn’t count it at teaching kids about anything but why a pretzel is a pretzel shape.