Why didn't Nietzsche and Heidegger directly link their philosophies to a reform of past religions?

It seems that even philosophers like Nietzsche and Heidegger believed that new religious philosophy was not possible, they did not label their philosophies as religion. Nietzsche's “Thus Spoke Zarathustra” could be thought of as religion, and so could Heidegger's conception of Being.

Perhaps it require the courage and independence of a madman or superman to create a new religion, but the fact is, the great religions were mainly developed as a reform of past religions. So why didn't Nietzsche and Heidegger link their philosophies to a reform of past religions? Nietzsche's hero was even named after one of the first monotheists. The great Aquinas reformed Christianity (and probably saved it) when he synthesized pagan Aristotle. Heidegger was even trained scholastically, and Nietzsche came from a long line of pastors.

Philosophers of new religions are labeled as megalomaniacal, at least at first, but they were less thought of as madmen when they formally synthesized past religion in their new philosophy. The political philosophy of conservatism works the same way synthesizing the past in the present and future.

The new religious philosophy of theological materialism takes materialism and philosophical naturalism and brings them together with traditional religion, art, and political philosophy. The divinity of the inner dynamism of life, called here the material Will-Spirit or Spirit-Will, which internally activates all life, working along with external natural selection and evolution, connects past paganism, Christianity and present science.

Godhood was understood or experienced first in the exclusive inward paths of ancient traditional religions, which can be transformed in the outward path of material evolution to the real supermaterial Godhood. God is not nature as a whole as the pagans thought, and God is not non-material or spiritual. The Will and Being are also not spiritual, which seems contrary even to the bold Nietzsche and Heidegger.

Godhood is the highest evolved material goal of life in the cosmos---and religion, art and politics can affirm this sacred goal. This does not lead to totalitarianism but to natural separations and variety, which real evolution and real human nature prefer, as human history has told us time and again.