It’s obviously not a delusion if you know it’s fantasy, it’s only a delusion if it’s fictional, but you strongly believe it to be true. Like believing there is life after death.

Fantasy is a part of our imagination, that enable us to speculate on things that may happen in the future, and prepare for them.
We can do that for fun, and speculate on things we very well know will not likely happen. That is entertainment.

Delusion is to believe things that are very unlikely to have either already happened or will happen, but believe them despite being contrary to logic and the evidence. Like for instance religions or believing Santa Clause is real.

If a delusion is fixed, and no degree of evidence it is a delusion will persuade the person. It can become much like a psychosis:

en.wikipedia.org/wiki/Delusion
en.wikipedia.org/wiki/Psychosis

Therefore Religion can reasonably be considered a mental illness. Which most today will not be willing to acknowledge, but I think maybe in 50 years will become more accepted.