Of course these fantasies exist in the sense that we experience them but they don't exist independently.
Everyone likes an entertaining story but there is no more enlightenment to be gained from them than from any other work of fiction.
Indeed it can be said that rehearsing the motto "Supernatural is Bunkum!" fairly regularly is a good way to clear one's mental pathways of detritus from the pre-scientific universe. For example, actively disregarding all purported supernatural references and assumptions encountered in the Christian "New Testament" allows one to appreciate the deep psychological and social/interpersonal insights of Jesus of Nazareth. In particular