That scene is for character development (Malkina stoping at nothing, living everything to the limit ... thus taunting the priest to let her try it), and also to prove or counter the thematic argument.
The movie tries to prove nobody will stick his neck out for anybody, or will someone?
Also about remorse. All of them tell they don't regret.
The movie speaks all the time about knowing what you want, and being honest to commit to getting it. The point characters revolve around is what they do when you need to be cruel to get it. Some of them don't stop and even fancy it (Malkina), some fear losing (Reiner), some think of escaping on time (Westrey)...
Westrey: "if you think of a friend as someone who will save you, then no, you have no friends". And lot more similar statements. He, though, had a blue eye from a confrontation with a bouncer.
Malkina to the banker: "seeing Raoul (one of the 'cats') hunting down the prey was special, it moved me". And her final pledge about the hunter: "The hunter has a grace, a beauty, a purity of heart, like no other being. There's no difference between what he is and what he does. And what he does is to kill. But we ... we are a part. Our heart weakness has left us on the brink of ruin. You may disagree, but there's nothing more cruel than a coward.
Reiner: "Women are able to detect the moral dilemma.(...) It may be due to them lacking of moral judgement, it fascinates them to see it in men". (...) "We are attracted to imperfection. Men want to mend them. Women don't want to mend anything, just entertain themselves".
The counselor (and his fiancée to a lesser degree, going to meet him before they capture her) are the counterpart, trying to do what's good (he says "I'd tell the truth" to the cartel's bosses). She retreats on her seat when a former client of the counselor accuses him of getting away by blaming on others.
So, the church is a test for Malkina. The priest proves her point (this is a hunt: you either are a hunter or a prey), when he denies her to even listen to her in order to make her feel better (supposedly). His god, his religion, only saves its devotees.