Faith is a product of the inherent insecurity and limited knowledge of life.
To truly believe, you must endure hardship, pain, regret. Without the negative qualities of mortal life, there can be no hope.
To have this absolute fire of conviction that faith brings with it, you must have a notion of a better tomorrow, or perhaps a better life in the next world.
Ghosts already reside in the next world, their suffering is over.
So while a ghost or spirit may know a god exists, indeed, perhaps even converse with Shor himself in the Halls of the Dead, this is a knowing rather than a faith.
A ghost doesnt strive, it rests.
This is a very modern/western/quasi-Christian view of faith which really isn't relevant in TES. TES is much more akin to ancient religion, in which "faith" and "belief" don't really play a big part so much as loyalty and appeasemant.
The ghosts of the Companions hope to raid Hircine's realm during the afterlife, the spirits in Sovngarde fend off Alduin, the ghosts of the Dunmer serve their progeny, any daedra worshipper goes to that realm to serve the daedra. Where is the rest? Where is it even ever implied that people are hoping for a western idea of a better life in the next world or rest, or that their faith is brought about by insecurity and ignorance rather than convenience and point of fact.
'Faith' as a concept is really innappropriate here. You say a ghost conversing with Shor has knowing rather than faith. The thing is that everybody, dead or alive, has knowing rather than faith; they've seen the Daedric Princes invade, they've seen Akatosh intervene, or Alduin. No need for hardship, pain, or regret to believe; unless you mean the hardship pain and regret that comes after Dagon steps on your house.
You're stressing a need for faith, but what they really need is worship.
Knowing is actually better than faith in regards to the OPs question anyway, since the hinge point is worship, and you can worship somebody you know exists quite easily.