How unusual was it to be Catholic at this date in Scotland?
Absolutely usual. Catholicism in Scotland was centred around the Dukes of Gordon based near Fochabers. And switching between religions was also normal, as was intermarriage between the two. One example of laissez-faire was my gtgdmother, always a member of the established church, who had a row with the Kirk Session so simply flounced around to the Catholic Church and got her child baptised there. Next child: back to Church of Scotland.
In 1811 when his son John was born, he was baptised in the Catholic church at Buckie.
Alexander Kemp's children were born at Smerrick, Enzie and baptised at Preshome St Gregory RC Chapel. John was actually baptised 8 Aug 1810, born Smirack, Rathven [sic] to Alexander Kemp & Jean Murdoch.
Use
http://libindx.moray.gov.uk/mainmenu.asp to check out the details and/or ScotlandsPeople to see the actual images. For example. "Preshome - 11 July 1818 - This eleventh day of July eighteen hundred and eighteen. I baptised Peter lawful son of Alexr KEMP & Jane MURDOCH in Smerack. The sponsors were Peter WEIR & Elspet GEDDES"
Many baptism events are repeated in the Buckie St Peter records, and not always exactly. ScotlandsPeople will show you that. And you'll have to decide from the images themselves whether the baptism took place at Preshome itself or in Buckie. John Kemp is there recorded twice.
Alexander Kemp was born 1787 but his baptism did not take place until 1799.
I don't recognise those birth and baptism dates for Alexander Kemp (and ScotlandsPeople doesn't have them). My notes have: "Alexander Kemp died 20-2-1872 in Enzie at age 91 - the register states his parents as being Peter Kemp & Elizabeth McIntosh (D-1872-Enzie-10). Alexander Kemp & Jean Murdoch were married 29-8-1802 at Rathven by Church of Scotland [so a 1787 birth isn't possible]: no CoS christenings have been found, all known children being baptised in the Catholic Church at Preshome." I transcribed the death details some years ago when pencils not cameras were the norm, so you'd have to check the actual image to see whether his parents were married or not - or even wrong, for I have his birth [sic] as 14 Sep 1781 Rathven and ScotlandsPeople has "KEMP ALEXANDER parents JOHN KEMP/KATHERINE SUTHERLAND FR311 (FR311) Bapt [sic] 14/09/1781 Rathven".
My interest in these Kemps was only in relation to my family tree, viz Margaret Kemp and Peter Kemp, so I only got their parents' information that happened to come my way, enough to establish they were siblings, and I wouldn't like to claim it's hard-and-fast verified.
Hope that helps! Untangling my folks in and around Enzie/Rathven has been and is a nightmare! Best of luck!