As Bill mentions, paraphrasing from Tony Lukas in Big Trouble, the Iowa Steunenberg men did not cater much to religion, at least not as regular attendees or participants. I must admit that is pretty much a tradition that I still carry on today. However, we know Belle and some of the other Steunenberg women would insure that plenty of religion, prayer, bible study and respect for the Sabbath went on in the household even if they could not get their men to more openly participate.
Here is an essay written by Frank W. Steunenberg Jr., the governors youngest son. It provides a good overview of those early religions practices. Typed at the top is "copied November 15, 1977." I am guessing it was written shortly before that date.
The information below is taken from the first entry on the history page from the Caldwell Adventist Church.
A little history of the the Caldwell SDA Church from 1900 - 2000.
A Sabbath School was held in the home of Grandma White in Caldwell, around the turn of the century. In 1903 Sabbath School and church services were held in the home of Elder and Mrs. A.C. Bird. Elder Bird also conducted a grade school in their home at one time. From this beginning the church grew and was officially organized in April of 1905 with eight charter members.
The first church building was constructed at 16th and Everett Street in 1909 on land donated by one of the members, Mrs. Frank Steunenberg, wife of the Idaho Governor who was assassinated eight months after the church was organized. The Steunenberg's son, Frank Jr., was a small child at the time of his father's death, served as Pastor of the Caldwell church in later years.