Am I obligated to return the protein supplement to the gym owner after taking it instead of money, knowing that the condition of non-refundability was written and perhaps he did not give it to me willingly, or is what happened considered mutual consent and I am not obligated to anything?

You have done well by avoiding this prayer hall due to the objectionable things within it. The basic principle concerning rental agreements is that they are binding contracts. However, such a contract can be rescinded due to a legitimate excuse that prevents the contracting party from continuing with it, and the lessor is not entitled to anything. Among these excuses is when continuing the contract would be unlawful. Therefore, there is no blame upon you for taking proteins equal to the value of the rent paid, and you are not obligated to anything, even if the shop owner does not agree to terminate the rental agreement.