At Agoraphilia Tom W. Bell weighs the costs and benefits of maintaining the Santa myth.

Santaism imposes large costs on parents, both the moral costs of lying and the opportunity costs of losing credit for well-regarded gifts. Yet Santaism does not appear to offer countervailing benefits. You don't need that mythical construct to tie good behavior to good gifts; parents routinely use carrots and sticks to get their kids to act appropriately.

Tom lists some costs and has a hard time coming up with any benefits. I believe tradition is the strongest argument for maintaining the myth, but that doesn't speak to any direct benefit in maintaining it. Of course it is fun watching the children get excited when they see Santa and make their visit with him.

I will add a potential self-esteem cost of children believing Santa favors one child or family over another based on what he leaves.