I didn’t want to derail things but it was more that I agree with both your rational and critical thinking “what do you think?” approach and at the same time Muffin’s “it’s fun to play” comments.
Yeah, it seems to me that there is a large and nuanced middle ground between the harsh “Santa is fake” and the (IMO somewhat insane) “bubble-wrap the kids and lie convincingly”. (Which does seem a recipe for potential trauma – as does death denial).
My lad is sitting adjacent to me atm on the other computer so I just asked him if vampires are real. “They’re not real” he replied, complete with: :rolleyes: (Dad’s being silly again).
Easter bunny? Tooth fairy? I ask, “fake” he says (backing his assertion with the proof that his best friend observed *his *mother replacing tooth with coin). Santa? Still under consideration. 
(Potential here for getting myself into trouble with my wife, but too good an opportunity to pass up with his answering these…) Gods? "Like Pit?", he replies, continuing, “Gods have angel wings”. Is Pit real? “No he’s just a Nintendo character”. Hmmm… wife’s religious family might not like this… 