I'd like to add here that Brandon mentions in his annotations that the beliefs listed in MB2 for Kandra are not central to their belief system; they are parts that float on the edges, part of the lore, but not the thrust of the lore. As far as I can tell, every belief system (including most forms of atheism) have some of these; often they can be abandoned without loosing the core of the system as a whole.
I actually expect that they know something about Ruin and Preservation. That sounds much more central. Of course, how they know---that's another question entirely. Maybe after the Lord Ruler lost interest in them they learned something from humans? Or maybe they got it from themselves somehow? Prophecy may be possible in this world; maybe Kandra can prophesy?
Isn't one of the most important questions "Did the Lord Ruler really create the Kandra?" Maybe they were humans before being changed. We don't know the limits of the power used to remake the world. Are mass and energy conserved? If so, then the Kandra were made out of something; it may have been "clay" (inanimate matter), but it may also have been out of living creatures. Ditto for the Koloss. Those creatures are just darn weird, both of them.
So many questions. So little answers. Curse you Ookla!