Once started, that questioning does have some fairly serious positive feedback - even if you can't prove someone is wrong, if they're making grand claims and you can see a lack of good evidence, it does tend to make you doubt them pretty seriously, and then look more carefully at the next person making claims.
I suppose children are used to having stories told to them all the time that they don't necessarily believe are true, but which they don't violently disbelieve either.
Possibly it's just that they pick up from their parents some unspoken idea of which things are worth pretending to believe in, or develop a mental category for 'neither believe nor disbelieve' without having to explicitly think about it.
I suppose that even small kids are used to being told things by adults that are probably untrue but which are sometimes best left unchallenged, or seeing people telling white lies where it's obvious that it's generally better for the lie to be believed than challenged (if Dad hadn't gone to a party because he couldn't stand the person giving it, it's probably better all round if some other excuse given for non-attendance goes unchallenged).
Certainly, the night when I saw my father carrying Christmas presents into my bedroom (again, I must have been 8 or less due to the location), I don't think I'd already decided Santa Claus it was definitely just a story, but I wasn't disappointed, or surprised by anything other than having caught someone in the act of present-giving.
I suppose that in practical terms, my belief or lack of it didn't make any real difference, so there hadn't been any need to make a decision one way or another.