high elves had and now have again the sunwell as their source of power, thats why they didn't need to build up a broad religion for the people. the difference to those people who worship the holy light or other things is, that they dont have a huge source of power for everyone. think about stormwind, its not full of mages majority of the population there is non magical, thats why they need the faith.
high elves being a long with humans and dwarves since long long time ago, thats where they've learned to embrace the holy light. While this philosophy does not penetrate deeply into high elven society, those who do follow the path of the Holy Light are much more approachable than most.