It's true to an extent. The last song of their "The Wraith: Shangrila" album is called Thy Unveiling, and they flat out told fans that they were Christian and their evil message for all those years was a lie. "The Dark Carnival is God" or something like that, and that's what the Juggalo's follow,The Dark Carnival, not unlike any other religion and/or cult.
Their shit fascinated me for years as I had never heard anyone tell one story over six albums... ever, and I was hooked for years until my interest in being an immature rebellious asshole dwindled and I steered myself to other artists.