You are right in Belgium first the civil Wedding and after the religious Wedding, except in this case where the King's Mistress was pregnant !
In 1941, Cardinal Van Roey was concerned for pastoral reasons that Leopold III, in captivity at Laeken, should marry Liliane Baels.
The Cardinal believed it was unsuitable for a Roman Catholic monarch to be pursuing his involvement with Liliane Baels without being married to her. Within the parameters of his ecclesiastical point of view, it is understandable how the Cardinal came to this conclusion. However, advice to Leopold III, while he was in captivity, was considerably less broad than if he had been in direct communication with the Belgian government. The voices of Cardinal Van Roey and of his mother Queen Elizabeth - both of whom favored Leopold marrying Liliane Baels in the circumstances that then prevailed - were thus proportionately much stronger than they otherwise might have been.
But we may recall what had occurred 32 years earlier. When Leopold II had wanted to marry - and indeed did religiously marry - Baroness de Vaughan, any preceding civil ceremony would in practical terms have had to have received ministerial approval. The fact that Leopold II did not marry Baroness de Vaughan firstly in a civil ceremony is probably highly indicative that such ministerial approval would not have been given.
Actually, if in 1941 the Belgian government in exile had been able to deliberate on the question of Leopold III's marriage to Liliane Baels and to have been able to maintain meaningful, private communication with him, it is doubtful that the aim of stopping Leopold at all costs from marrying Liliane Baels would have been regarded in the longer term as a high priority of its war effort. In which case, the Belgian legal order: first the civil ceremony, then any religious ceremony, could have been maintained. However, this is all highly hypothetical and the poor relations between Leopold III and the Belgian government in exile revolved also around various other unrelated matters, which somehow get caught up rhetorically around Leopold's evocative remarriage to Liliane Baels, whom he of course named Princess de Réthy.
If Leopold III, hypothetically with ministerial blessing, had firstly married Liliane Baels in a civil ceremony, then it is also doubtful that, in terms of its priorities, the Belgian government would have regarded the religious ceremony with the level of importance that Cardinal Van Roey did.
Leopold II did not live long after marrying Baroness de Vaughan. Leopold III lived for over 40 years after marrying Liliane Baels; and Princess de Réthy herself lived for over 60 years afterwards.