You asked why it should matter. I don't know why it matters. That's a question that only YOU can answer. I certainly don't mean to sound flippant, but if you're both adults, I'm not sure why you would even question whether or not it should matter. Granted, you're both acting in ways that your parents don't approve, but, I dunno. It seems like your values and religious convictions are just as much of the problem as anyone elses. It sounds like both you and your partner considered yourself to be adults and wanted to have sex, so you did. But now, you don't know how to deal with the consequences of your actions. Of course your parents aren't going to sanction something that is counter to their values and beliefs! But then, you knew that when you went ahead and had sex. Now you're trying to figure out what to do about it.
If you ARE an adult, you make your own decisions and you accept the responsibility for the results of those decisions.
So, there is no easy way out. I'm not faulting you for having sex. God only knows that those pressures are damned hard to resist. But, you both made a choice so now it's time to BE an adult. You've done something that you knew both of your parents would not approve of. If it matters to you that you make things right with them, I urge you to try to do so. But that isn't something you HAVE to do. The choice is yours to make. No one can tell you what you should or should not do, or for that matter, WHY any of this matters.