I believed the myth of a kindly grandfather figure who rewarded good children, until I learned about pedophiles ("... He sees you when you're sleeping; He knows when you're awake ..."); sweatshops (where third-world children were paid starvation wages - if they're paid at all - and forced to manufacture toys for first-world children); and animal cruelty (making 8 or 9 reindeer drag a sleigh filled with millions of tons of toys around the world in 24 hours).
That's when I grew up.
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The mere fact that science may not yet adequately explain an object, event, or experience does not mean the immediate explanation should automatically default to a conspiratorial, extraterrestrial, paranormal, or supernatural cause.