“Islam” is a proper noun because it is the name of a unique thing - the Islamic faith.
“Christianity” is a proper noun for similar reasons.
“Christ” is considered a proper noun as it is treated as the name of one particular individual. As a word it really means “anointed one” (from the Greek language) and corresponds to the word “messiah” that we get from Hebrew. As such it is more of a description than a name. I think we treat it as a name by tradition.
“Christian” was a term coined at Antioch, meaning “little Christ” or “little anointed one” - meant to be a mildly disparaging term, but accepted and adopted by those who followed Jesus. I am not sure that it is really a proper noun. I think we capitalise the first letter due to the reference to Christ.
“Atheist” is a general term (also from Greek) basically meaning someone without any god. It describes a characteristic of an individual but does not name an individual. So it is not a proper noun.
On the other hand, “Atheism” could be considered a proper noun in that it could be considered a faith in the non-existence of God or gods. However, it can also be considered to simply express lack of faith, which would make it not a proper noun.
Why wouldn’t I consider Social Justice Warriors? A group similar to Christian. Proper noun. LOL