In the movie The Counselor, Malkina shows up to a Catholic church and tries to get the priest to let her confess her sins? She taunts him. We understand from the previous scene that Malkina is not religious, she just seem curious.
In the screenplay, Malkina has an extended conversation about confession with Laura (that is not in the movie). Malkina basically just asks Laura how confession works and Laura explains.
Malkina going to church doesn't seem to have any impact on the plot. It seems to have only a slight impact on developing her character as a little twisted.