Is it a bit strange that the unnamed Septon in Arianne II believes that the Stormlands are cursed with violent storms because of the wrath of Elenei’s parents, because that implies that Gods other than the 7 exist and are quite powerful? After all at least some followers of the Seven tend to look down on followers of other religions-hence all the “heathen Northmen who worship trees” talk.

It is, a little. There may be a couple different explanations for this: 

1. It’s an example of religious syncretism at work. Possibly this Septon in question was from the Stormlands, and the Faith there adapted to the pre-existing religion somehow – sometimes there’s acceptance of “lesser gods,” or subordination into sainthood, or they say “the old gods died long ago.” 
2. It may be an example of religious moderation. Yes, the radicals believe only the Seven are true, but most of Westeros swears by the Old Gods and the New and kept the godswoods after they found out what happened to Erreg Kinslayer, and there are temples to other religions in Oldtown, which was the center of the Faith for thousands of years, because even priests understand that trade brings in donations.