According to what I read in an article that Cristina Muñoz Osuna has published in El Debate
For the English king, faith is important and he says so. With all clarity. For the one in Spain, it’s possible yes, but since he doesn’t say it, we don’t know. And for the Queen of Spain, some say no. I saw King Felipe make the sign of the cross once or twice. The queen, never.
Read Cristina Muñoz’s article which I think is important. For Carlos and for the comparison.