Thanks for the compliment but my experience is not too great: it is just that Valois Burgundy used to be one of the popular topics on (now extinct) SHWI.
Confessional issue may or may not became a problem, depending on how <whoever is in charge at that time> is dealing with it. Of course, the big problem would be iconoclastic activities of the over-zealous Protestants (happened in OTL): they tended to be aggressively intolerant. But with a reasonable combination of stick and carrot it probably would be possible to arrange some feasible compromise with a minimal bloodshed and disturbance.
Of course, one of the options for the Dukes/Kings would be to convert into Lutheranism, Calvinism or something like the English model (and lay their hands upon at least some of the Church property) while not abolishing Catholicism completely to minimize internal tensions: something like the "Brandenburg model" ("In my lands everyone can save his soul any way he prefers"). Probably the best time frame would be slightly after the Augsburg Peace to avoid participation in Schmalkalden League, war and potential imperial reprisals. The options was, of course, impossible under the Hapsburg rule but who said that the Burgundian Valois would be the same type of the hardcore fanatics?
But with all these colonial and confessional things we are seemingly missing the BIG PICTURE. What would be impact of this schema upon the European affairs? Quite obviously, we have "the Hapsburgs minus the Netherlands" situation. Probably we can more or less safely assume that the Spanish-Hapsburg marriage(s) still occur, that the Italian wars still happen (they started just as a conflict between France and Aragon/Castile), and that Charles Hapsburg (with one of the grandmothers being different) is still an emperor. However: (a) the Hapsburgs are obviously lacking part of the revenues that in OTL was coming from the Netherlands (can't tell how big would be financial hit) but (b) their quarrel with France is limited to the conflicting Italian claims (Naples and Milan) and there is no issue of the "Burgundian Inheritance. This removes the last stage of the Italian Wars, fighting on the Northern border of France.
Also, there is no 80 years war between Spain and rebelling provinces. Impact of this is profound. Spain does not need to maintain the Spanish Road and this means that, unlike OTL, Spanish interest in supporting their Austrian relatives in the 30YW is purely theoretical. As a result, at the initial stage of the war Ferdinand is not getting the troops and money from Archduke Albert, ruler of the Spanish Netherlands, (and potentially may be forced to capitulate on the early stage of the war) and on a later stage the Spanish armies are not joining the imperial ones in Germany.
Then goes French position. In OTL Richelieu was subsidizing the Protestant forces with a strategic goal to break the Hapsburg encirclement of France but in ATL the problem does not exist (and the territorial issues with the Valois state are already resolved) so France can either stay in peace and concentrate on its economy or to start war with Spain over Roussillon with a potential expansion to Catalonia. If we start thinking "big", there could be a renewed attempt to conquer Milan and perhaps Genoa. But the important thing is that Austrian Hapsburgs are NOT getting Spanish military and financial help and the Protestant forces are not getting anything substantial from France, which may (or may not) make the 30YW shorter.
Later, there is no War of Devolution (Louis XIV attacking Spanish Netherlands) and it is an open question if there is an analogy of the OTL Franco-Dutch war 1672-78 more or less triggered by the Dutch position in the war of Devolution. Ditto for the later Dutch participation in various anti-French coalitions all the way to the War of the Spanish Succession. And, of course, the OTL Spanish/Austrian Netherlands (Belgium) would not be a bargaining chip in the dynastic wars.
Why would TTL Karl V have a different grandma? Any son of Charles the Rash takes precedencd over a daughter, and a marriage to Marie was the only way Friedrich was willing to cough up the crown of Burgumndy.
That said, steady the buffs as to the 30YW etc. If the Valois, -Orléans and -Orléans-Angoulême still go extinct as OTL guess who's the next in line to inherit the French throne: the surviving male line of Burgundy. Which means talking about the Austrian line of Habsburgs and Richelieu or Louis XIV and the war of the Devolution becomes null since there's no certainty that they'd even exist, much less be the same characters as OTL.