I've played on many teams that have a Bible study or prayer session before or after games.
The one team I played with where the coach led these sessions, it became a pretty serious problem.
The rest of the teams had the good sense to have a third party lead these sessions. A parent local pastor, priest, rabbi, it doesn't matter. This method makes it truly vountary and takes away the pressure that players might feel to attend.
I don't think most coaches who do this are trying to push their beliefs on the kids, but religion and baseball...more specifically baseball parents...don't mix well.