I don't think the Belgian constitution demands she must marry a Catholic (indeed he first King Leopold I was Lutheran) but I suspect she will.
Leopold III married Astrid of Sweden. Astrid was raised Lutheran and converted four years after they married. She initially wanted to convert simply because Catholicism was the religion of Belgium but the (Catholic) priest she consulted said that she should only convert if she believed the faith.
So it wasn’t a concern back in the late 1920s.
Obviously when there’s a constitutional requirement that someone marry within a very faith or be raised in a certain faith things are far more complicated but otherwise I do prefer when it can be someone’s personal journey rather than an expectation forced upon them.