Everything fictional is in "stories."
I never want to be in the position where I consciously lie to my son, so Santa Claus is very clearly a story. That said, we can do all sorts of fun imaginative things with story characters because we know they are not real.
This allows us to have the magic of Santa, without eventually having a large breach of trust.
And because of that I want to add how my parents did it, which was kind of along the lines of "teaching children to think": They kept up the myth until we started questioning it, turning it into a sort of rite of passage.
I figured it out in 2nd grade, age 7 or 8, right at the point OP is asking about.
I find this interesting: do you believe there is something intrinsically bad in the lies?
Normally, I would think they lead to lack of trust, but I don't seem to remember children losing trust in their parents when they discovered _they_ are really Santa Claus.
I mean, it seems to me that not all un-truths are created equal.
Now I can't say that this will actually have much of an effect, like I said, we can naturally work out these contradictions over time, but I think this is why one should not lie to children in general.
Like you say, not all untruths are created equal. It could be quite easy for them to fix their concepts once they realize it is a lie, but perhaps it could have some lingering effects. I can't say. I'm not a psychologist and each individual, and their mind, is different.