Oh please, as long as they know what Christmas is really about and what the having the Christmas spirit is then what's the harm in having a little fun? What do you do when your kids pretend to be something when they play, jump down their throats about lying?
When kids play and pretend, they are aware that while they are role playing they are still in reality, they know their toy sword wont cut anybody, they know that they really aren't a pirate and that the cardboard box isn't a ship floating in the sea. They are not believing a lie just because they are pretending, it is totally different.
Telling kids about St. Nicolas and all that stuff is one thing, but convincing them that Santa is really delivering their presents is a lie. Is your idea of having a little fun telling a lie? Santa never played any part in fun that I can remember as a child anyway, there is harm in telling lies, but telling the truth never harmed anybody.