Personally I wouldn't characterise scientific understanding as necessarily antithetical to a polytheistic religion, just look at India. Scientific understanding was already quite well developed in India, yet Hinduism remains predominant even now. Although from what I understand of Hinduism from friends who practise it, what might look like a truly polytheistic dogma on the outside is rather one where all named gods are facets of a single supreme spirit. Which then supports your thesis!
But in a European context, I'd agree totally that the trend was towards henotheism/monotheism. Even at the start of the imperial period, Romans often referred to Jupiter as Iupiter Optimus Maximus, 'Jupiter the Best and Greatest', I could easily see the Roman state religion going further down this henotheistic path, initially focusing solely on the Capitoline Triad of Jupiter, Juno and Minerva and possibly becoming monotheistic over time. Had the Roman state religion gone down this path and survived to the present day, I'd bet good money that it would look very similar to Roman Catholicism, at least until the changes of the last century or so. Uncomfortably similar, if you're a Roman Catholic.
I personally think Mithraism had a good chance of taking the same path that Christianity took OTL - it seems to have been popular among the military and it's obvious how intertwined the Roman military was with the position of Emperor for much of its existence. Rome also seems to have been the centre of Mithraism, quite possibly even the place it was created. So I think it's entirely plausible that Mithraism could evolve from a mystery cult to a full-blown state religion. I'd be interested to see what that looked like, but given how little we actually know about the details of Mithraism I think it would be very difficult to speculate.
Further down the line, if the ex-Western Roman Empire had never christianised, but still had a religion with Rome as its central religious city, then where do you start with all the knock-on changes? No crusades, certainly. If Islam was still founded in the same way with the same dogma, and still expanded in the same way, would the TTL western religion have led a reconquista against them in Iberia? Would the TTL Byzantine state have fallen more quickly to the Turks, or more slowly without western Crusaders looting them on their way through? The word 'crusade' wouldn't even exist, nor would 'excruciating', they both ultimately derive from the Latin word for 'cross' thanks to the Christian connotations of the word. I guess you might get a Patriarch calling for a 'stavroforia' instead?
Then what about potential reformations and religious wars? The wars between protestants and catholics were hugely devastating to parts of Europe and came at a horrific cost in human lives, both directly from the fighting but also from the resulting poverty.
I reckon you could spend a whole academic career exploring the potential changes and still not run out of things to write about.