I do it all the time. It's something I am known for, and have been since I was young.
If I heard someone state a falsehood or facade that they were imagining, I would correct them. Initially it was mostly with science. In preschool I remember once our teacher came up to us and said that little magic elves were stealing the water out of the cups we had on the window sill over the weekend. I said "no, they evaporated!". Needless to say she was somewhat shocked I said that. My peers seemed rather dissapointed in me. Things like that were persistent as I grew up.
Now I go beyond just that. I cut through individuals mental fog, and get to the heart of matters if they come to me asking for advice, or even if they don't ask. Fantasy worlds that cause a detriment to someone should in my opinion be removed as much as possible. They key is to know when to do it, and how to do it. Compassion and tact is key. I've learned through life. If you present something as too cold and calculated, people will dig in their heels. If it's done gently, they will learn and begin to process it.
So when is it ok? When it is causing the person harm, or it is hindering their growth. Spoil away. It's good for them. Just do it with gentleness and care. If it's just them having fun? Then I may let them keep it. Feeling magic to the world does create a great deal of happiness in many.