This is a little inconsistent with the UI for almost every other similar task, which can be accessed through one of your council, OR through the context menu for the “target” of the action. Change state religion can only be accessed through the latter as far as I could tell.
I think it would make sense to make “change state religion” have your ruler as the “subject” of the action, to make it consistent with the UI paradigm for most other things in the game.