The split between the Shia and Sunni branches didn't occur until after Muhammad's death. I assume it's more practical to represent this by having him hold both Caliphate titles than it would be to create a unique religion in the Islamic branch just to represent the faith before the Prophet's death. The only reason they have the Hellenic and generic pagan faiths in vanilla as far as I can tell is because there's actually a fair number of characters that follow them in the history, namely the Roman emperors for instance. However, in some weird situations it is in theory possible for a character to gain multiple religious head titles, but you need to put a good deal of conscious effort into having this happen and holds no practical purpose beyond potentially an increase in prestige and piety.