Michael Jackson left the Jehovah's witness in 1987, from there, he kind of stumble between various religious denominations seeking refuge... Michael always acknowledge Jesus as God and perhaps, he never went catholic (and this is my own assumption), because he saw the child abuse from some members of the Church, the same thing he was accused of by people wanting to ruin him financially and just straight up destroy him (Sony).
Perhaps Michael is still in purgatory as we speak, or maybe in Heaven (I hope), so... please, remember to pray for the souls in purgatory daily, they need those prayers, to me the most quick way is with St. Gertrude the great prayer, the BEST way is with a Rosary.
Blessings