I disagree here. For example, relativity and quantum mechanics explain how our world behave but we have no idea why these theories are true or even why can the universe be described with mathematical equations ?
What kind of answer would satisfy your questions of why these theories are true anyway. I am not sure I can even imagine an ideal answer and this might be a clue that we are asking the completely wrong question.
I don't have answer on the "Why". I think that this question is not a scientific question because the answer could no be proved/invalidated by experiments. It's a philosophical question and some people find the answer in religion or philosophy, some just admit they don't know and others just don't care.
In my experience, religion is usually answering scientific questions, not non-scientific ones. And the explanations they give hardly explain anything at all.
I don't know. Some religions don't seem so hung up on prime movers and anthropomorphizing any "higher being(s)". Buddhism, for instance (just my impression).