I didn't say it was unhealthy, inherently, I said it was poor logic. You can do something that is both illogical and not too bad for you. Now, living in a fantasy can be a problem for you if you need to interact with society, so if you're trying to be a functional human being in a modern society, devoting yourself to a delusion is definitely to your detriment. How much of a detriment really depends on the level of delusion and the amount you wish to interact with society.
So, yeah, if it makes them happy, and doesn't detract from their quality of life, go for it. Just find me an example of devotion formed under poor logic that isn't a crappy outcome