Don't confuse evil for stupid. Calabrese wasn't stupid. He at least had average intelligence, but an evil sociopath he was.

As Ted pointed out, a lot of these people compartmentalize their faith with their Mafia membership. Bonanno, as some of you pointed out, is one example, Joe Profaci, Frankie Yale, Al Capone, etc, are many more examples. Some, like John Gotti, became atheists. Sam DeStefano claimed to worship the devil. I think Sonny Black told Joe Pistone that he feared going to Hell.