Simple fact of the matter is that people have been capitalizing He and Him when referring to a deity (specifically but NOT exclusively for the Christian God) since before there were formalized grammar rules. THUS, capitalizing He and Him for a deity is an exception to the rule, just as there are MANY MANY other exceptions to rules in the English language (I before E EXCEPT after C; how come you're not in here bitching about that?). So, it's built into the system and not not "proper English". So get over it.
By the by, I'm an agnostic (not that it matters, but I don't feel like getting wrapped up in a flamefest).