No, Sherlock's definitely not one for outlandish stories. It's not the first time they've crossed something like this either. The reports on what happened at Indiana were still fresh in John's mind, as were Stapleton's words about it: if they can imagine something like this happening, someone's probably already doing it. It seems particularly likely with what he's heard about SERO in his time here.

"Wait... hang on, why would they be pumping money into a church?"