I'm assuming that a rationalist who made tulpas would be aware that they weren't really separate people (since a lot of people in the tulpa community say they don't think they're separate people, being able to see them probably doesn't require thinking they're separate from yourself), so it wouldn't require having false beliefs or beliefs in beliefs in the way that religion would.

If adopting a religion really is the instrumentally best course of action... why not? But for a consequentialist who values truth for its own sake, or would be hindered by being confused about their beliefs, religion actually wouldn't be a net benefit.