I remain skeptical and would suggest that Shakespeare probably agonised long and hard over whether to remain a Catholic, but I am yet to be convinced that he died a Catholic.
What really fascinates me are the three plays he chose to put on at the Rose on the south bank of the Thames in this period around 1591. They are the three plays about Henry VI. Note that at this time Edmund Spencer was publishing his Faerie Queene and all righteous England was in love with good queen Bess, unless of course you were a Catholic or had Puritan tendencies. It must be remembered that Henry VII had very nearly succeeded in getting his ancestor Henry VI beatified. His grave in Windsor was certainly a major destination for pilgrims up to the Reformation, he had a love for the poor and was famous for his acts of charity. Henry VI was an overtly pious king, whose record as king looks bleak. He lost France, got the country into horrid levels of debt and “started” a civil war. He is not really the sort of figure to be glorified in drama during the reign of Elizabeth. He was not a success by any measure of success that most Elizabethans would recognise.
Perhaps in the collective psyche of the covert Catholics of Elizabethan England Henry VI did embody something they could relate to. His faith was the most central thing in his life, he lacked ambition and any ounce of ruthlessness. He was surrounded by many who were far more scheming than him and he was perhaps easily manipulated. There is a theme in the three plays that strong (true?) faith leads to earthly failure.
However the plays are not a hagiography. They were obviously quite watchable for any of Elizabeth’s subjects (who liked plays) and indeed the very pro-Establishment Thomas Nashe even goes as far as recommending one of them in his Pierce Penilesse. These plays are not intended to be acts of sedition, yet nor are they anti-Catholic like much of the pro-Establishment literature of the time. Henry is never made to look a fool because of his faith. There is a corrupt Cardinal in the shape of Henry Beaufort, but the Church itself is not seen as corrupt.
I see Shakespeare more as a philosopher, trying to reach as many as possible with balanced tales that delve deep into the psychology of the times. For him to have overtly take sides would have meant him having to obscure universal truths about human nature.
For example, try reading Sonnet 26 as Shakespeare’s “protestation” of his Catholic faith, a faith he loves but does not wish to die for. It works for me, but then I’m no scholar.
Lord of my love, to whom in vassalage
Thy merit hath my duty strongly knit,
To thee I send this written embassage,
To witness duty, not to show my wit:
Duty so great, which wit so poor as mine
May make seem bare, in wanting words to show it,
But that I hope some good conceit of thine
In thy soul's thought, all naked, will bestow it;
Till whatsoever star that guides my moving
Points on me graciously with fair aspect
And puts apparel on my tatter'd loving,
To show me worthy of thy sweet respect:
Then may I dare to boast how I do love thee;
Till then not show my head where thou mayst prove me.