What if self-deception helps us be happy? What if just running out and overcoming bias will make us - gasp! - unhappy?

You are aware, I'm sure, of studies that connect depression and freedom from bias, notably overconfidence in one's ability to control outcome.

You've already given one answer: to deliberately choose to believe what our best judgement tells us isn't so would be lunacy. Many people are psychologically able to fool themselves subtly, but fewer are able to deliberately, knowingly fool themselves.

Another answer is that even though depression leads to freedom from some biases and illusions, the converse doesn't seem to apply. Overcoming bias doesn't seem to lead to depression. I don't get the impression that a disproportionate number of people on this list are depressed. In my own experience, losing illusions doesn't make me feel depressed. Even if the illusion promised something desirable, I think what I have usually felt was more like intellectual relief, "So that's why (whatever was promised) never seemed to work."