I read it as an anti-theist story.
The original settlers ("the First") use advanced technology combined with their psychic powers to set up a world in which various ideas of Hinduism are carried out in physical reality. The First set themselves up as gods, living up in heaven and receiving the prayers of the people down below. When people die, their brains are scanned, and if they've been obedient and followed the rules (and made many donations to the church), they may be reincarnated into a higher caste. If not, they may be reincarnated into an animal's body.
Sam is one of the First, but he's offended by the tyranny of the priesthood and the greed of the "gods," who keep the technology for themselves and let the common people live in poverty. To strike back, Sam starts a counter-religion based on Buddhism and preaches equality and independence from the prevailing religious system. He finally conducts an out-and-out war against his former cohorts in heaven.
I think the following quote says something important about the message of the book:
“The four points of the compass be logic, knowledge, wisdom and the unknown. Some do bow in that final direction. Others advance upon it. To bow before the one is to lose sight of the three. I may submit to the unknown, but never to the unknowable. The man who bows in that final direction is either a saint or a fool. I have no use for either.”
Yama is saying that a religious attitude is one that worships the unknown at the expense of one's ability and drive to figure out how the natural world works. In writing a story about people who rebel against the gods, and in presenting this anti-mystical point of view, I see Zelazny making a humanist statement.