Well, no, they don't, because we don't allow religion to be an excuse for breaking other laws.
You are kind of talking in circles, but let's agree that we wouldn't allow an atheist baker to discriminate against gay people because he hates them queers!
Nor would we allow a religious baker to come up with some bizarre interpretation of the bible like race mixing is against God's plan (which actually was the default position of many churches before 1969, but I digress.)
So by that logic, a baker's religious opinion is not enough to rationalize breaking the law in providing a non-religious product.
I'd force clergy to fucking apologize to the rest of us for lying about imaginary sky pixies, but that's just me.
Obviously, though the Clergy can only perform services within their faith. There's no real religious significance to a wedding cake. Heck, it's not even a "Christian" thing, it's something that came down from paganism, where the Romans would make cakes in the shape of genitalia to encourage fertility.
Sure it does... but it's not a choice, it's an orientation.