I feel pretty strongly about this issue, so sorry for the wall of text that's about to come forth haha. Like a lot of people have said, if the gym makes it clear that they're a fundamentally Christian organization, then you should know exactly what to expect. But a lot of gyms don't make that a focus of their business, but still participate in team-wide prayers at practice/competitions- that's what concerns me. A lot of people here have said that if the child doesn't want to participate, then they don't have to. The issue is a lot more complicated than that, particularly when you're dealing with children of an impressionable age who don't want to feel left out. Even if you give them the option to "sit out", it's still pretty blatantly obvious that they're in the minority, that they aren't the same as everybody else. Supreme Court rulings about prayer in school have made a point of this in cases like Engel v. Vitale and Wallace v. Jaffree, among others. It's important to consider, however, that they have upheld laws, such as the one in Georgia, that requires students to have a moment of silence/reflection at the beginning of each day, because they have no explicit mention of anything related to faith. I think a compromise like that would be great for the team as a whole.
I'm not oblivious to the fact that the Supreme Court rulings were only valid because they affected public schools, paid for by taxpayers, separation of church and state, etc., so a gym is certainly within its rights, as an independent business, to conduct such prayers if they choose to do so. But because religion is such a hot button issue in America due to the plethora of faiths and lack thereof that exist, I think it's only fair for a gym to do such activities if athletes/parents are made aware of the policy before they make a huge commitment to a gym. If I were a parent, I certainly wouldn't want to pay thousands of dollars to a company and find out later that my child feels compelled to participate in certain activities that don't adhere to our family's values/beliefs. I would, however, of course talk to the owners of the gym privately to see if a compromise couldn't be worked out.
If these issues are to be avoided, then parents, coaches, and athletes just need to work together to find simple compromises that are at least somewhat suitable to all parties involved.
Also, it really bothered me to see certain comments that essentially stated that the only thing that mattered was what the majority wanted. Yes, what they want is certainly relevant, but it's even more prudent to keep in mind how their desires affect the smaller group of people, and how they feel about things. Just imagine if our country's laws were only based on what the majority wanted! I guarantee you that accomplishments about slavery, women's rights issues, etc. would never have been achieved when they did had the government (particularly the courts) not taken the needs of the underrepresented minority into account. I know prayer in cheerleading isn't exactly tantamount to slavery, but I think the point still stands.
Be, open, be respectful, and everyone should end up happy.