Apparently not, that is if the players are Mormons and you're taping them in UT. I guess Mormons have special rights in UT.
AFAIK you can film any of the religious festivals or other events that the Christian churches (Protestant, Catholic, Orthodox, etc) put on in public venues without being arrested. My former Baptist church sponsored a pro-life Walk for Life event every summer in which many other churches, both protestant and Catholic, joined us along public highways. Portions of the walk were often videotaped by people we didn't know who drove by as we walked, and by the local TV station camera van for it's evening news program. Nobody ever called the cops to haul them away because we had nothing to hide or to be ashamed of.
On the other hand, if films of your walk were used commercially you might change your mind.
For example, that crazy killer abortionst in Wichita might use a film of your walk to prove to an insurance company that his opponents were not so dangerous that he shouldn't be able to buy liability insurance for his business.
Without a "release" he couldn't do that and you could sue his little crotch panties off.