Lamb (2021) - Keys to understand the Movie (Spoilers!)

Good questions for a sequel. ☺
With the funny observing cat, please. ​🐱​

Well, Ada may help us humans to understand that we're part of nature.
Neither leaders nor nature's opponents.

Heimdall (Ram Man) is Ada's father.
Ada is the 'Lamb of God'.

This Icelandic film is a mix of Nordic mythology and Jewish/Christian religion.
Ancient mythologies (belief in elves and goblins) and the Christian religion still coexist peacefully in Iceland today.

Ada's mother is an ewe (shot by Maria) and her father is the Ram Man, god Heimdall.
That's why Ada has human traits like her father, who is only hinted at the beginning.
The Ram Man (god Heimdall) shoots Ada's adoptive father Ingvar in the final scene.
Heimdall isn't pleased at all about Maria's and Ingvar's behaviour.
He rather brings Ada back 'home'.

Yes. It's a film about grief.

I wouldn't, however, say that religion has nothing to do with it at all. I think that it's there, but not quite in the way the OP imagines -- which is a reductive and overly literal interpretation that takes a few leaps to make the theory work.

Lamb isn't a direct religious allegory by any stretch of the imagination. It just plays around with that iconography to provide a mythical dimension.

Sjón, the co-writer, does this kind of thing quite a bit in his fiction. (He also co-wrote The Northman, another film that plays with mythological themes.) But he's primarily a poet. He uses this stuff as building blocks from the shared pool of story-telling. He's a literary man, not a literalist.