Most likely, they are lying to themselves to protect themselves from their own pain.
It's easier for the "son" to say that it's good than for him to acknowledge that he has been trained to believe a lie his whole life. And of course, his "father" wants him to believe that lie as well.
When you have the strength to acknowledge the pain that it has caused, then the whole illusion falls away.
But he grew old, this knight so bold / And upon his heart a shadow / Fell as he found no spot on the ground / That looked like El Dorado.