I'm not going to criticise your decision, especially with regard to the social situation at school, which I can't speculate about. But I doubt it's more interesting to believe in the weird collection of junk memes that Santa Claus has become.

Maybe it's just me, but I think the truth is always more interesting, because there's aways more detail in it. Fake things are ultimately very boring; you poke at them a bit and there's nothing there. Flying reindeer are just pictures of approximately deer-like animals (usually more like red deer) positioned above the ground. Real reindeer are pretty amazing.