As I recall, my daughter's dawning realization that Santa Claus was mom and dad was not a heart-breaking loss of belief, but more of a feeling of power vis-a-vis parents: "I caught you out, I'm SO smart". Our response was evasive/joking/supportive. "We're not going to come out and admit that you're right, but you know ... ... you're very smart."
There are a great many such customs, worldwide. Hopi kids may think the Kachina dancers are gods, at first, and then figure it out. The child feeding lettuce to the big lion head carried by the Chinese lion dancers may believe in the lion when very young and enjoy the pretense when older.
It's dangerous to generalize, but it seems that most of these "pretend" customs personalize a more abstract principle; seeing through the pretense often involves rejecting the personalization but accepting the underlying belief.