For all intents and purposes the Faith of the Seven is an established religion in King’s Landing, which is where the Sparrows’ activities mostly take place, even if other religions aren’t persecuted. Important civil events (like Ned’s execution and royal weddings and funerals) take place at the Sept of Baelor, and previous kings are buried there. Most noble houses in the south have septas as part of the household. The Faith of the Seven is established as much as the Church of England was in the UK or Catholocism was in many European countries in medieval times.
I’m not denying that that’s evil, nor that the High Sparrow is a villain to some degree. What I’m discussing is how evil they are compared to the status quo.
The Sparrows smash people with clubs who violate their moral laws. The nobility employ thugs (uniformed as soldiers) to arbitrarily murder completely innocent people who inconvenience or offend them.
The Sparrows torture people to extract confessions or as punishment for crimes. The nobility torture people to extract information, but they also torture, flay or burn alive, throw to the dogs, mutilate, or rape people just for their personal amusement.
The Sparrows help and feed the poor. The nobility mostly care nothing for the poor, but in fact tax them into poverty to support their extravagant lifestyle, including feasts, tournaments, and weddings.
The Sparrows treat everyone as equals. The nobility, at least many of them, treat commoners as hunks of meat to be exploited until they are no longer useful. They have virtually complete impunity for murdering or raping them for any reason at all.
This is a comparison that I might make, but more like Castro’s Cuba. For the vast majority of people, the Castro regime was vastly preferable to Batista’s Cuba or Duvalier’s Haiti. Now of course today Cuba suffers in comparison to liberal democracies, but we are talking about a world in which almost all other countries are comparable to Duvalier’s Haiti. The Sparrows might be oppressive, but I don’t think they are nearly as oppressive as the system they are combating, and certainly not for 95% of the people.