Because early man knew God Gopher. I mean Adam and Eve. They passed down the knowledge of God, and also the nephilim. So you have stories of the true God in the Bible, and the demi-gods in other literature.
As far as a third eye gopher, I think it's more like God has his prophets in every age.He always has a few around who absolutely know the truth, a remnant and the prophets so to speak.
Interesting question, gopher, which I am sure I have seen discussed. Certainly, it is reasonable to believe that the potential to believe in supernatural things is genetically influenced. This does not mean it is selected for: what it means is that genes that cause it are selected for.
And I think that is the key. It looks like the genes that gave human beings the capabilities that allowed us to develop language, civilisation, education and so on also gave us the potential to make music, write novels and have supernatural beliefs. This does not mean these are (necessarily) fitness benefits, just that they are (at least partly) the result of genes that are (since the fitness of genes is determined very largely by the fitness of their hosts).
"Partly" is needed, because these things have developed in modern history. It might be accurate that we don't know of societies without religion, but it is also true that we know of ancient societies without evidence of religion, music, literature and so on.
We also know that religions with virtually any type of belief you can imagine have existed, so if there is a gene for religion, it is not a gene which provides access to truth.
If there is some solid evidence for supernatural abilities, it may be confirmed scientifically. This hasn't been done convincingly yet, although I've been open to believing in some kind of telepathy for a long time and have been impressed (or is it fooled?) by work on the subject by Dean Radin.