I teach a magic club to elementary kids sometimes, and I tell them that the joy of a magic performance is this: you’ve told your audience a plausible, impossible story, and they can’t match what they saw to what they know about the universe. Folks who like magic shows either like them because they love that happy confusion, or because they want to solve the puzzle.
If you insist during the show that it’s magic, but it’s with a wink, then the audience gets either the puzzle, or the happy confusion, their choice.
If you insist later, with no wink, that it’s real, you deny the happy confusion, and you move into fraud.