The difference between the Santa Claus myth and other stories (whether fantasy, fairy tales, science fiction, what have you) is that we try to convince kids Santa Claus actually exists. Generally, when reading stories to kids with talking animals or dragons or whatever, you don't make any attempt to convince them these characters exist outside of imagination. If a kid offers, "But a bear can't talk!" you don't say, "No, no, they actually can. There are bears that live in certain hidden forests ..." That's where critical thinking might be hampered with Santa Claus, when kids start to see the impossibility of it, offer their doubts, and are promptly rebuked by their parents and society at large. Does that cause kids to distrust their own minds right out of the
But Tim hit on maybe the biggest problem. Once you realize your parents have been lying to you all along, and largely as a cheap tool to get you to behave, you might not take any of their advice later about what's right and wrong, safe and unsafe, etc. From what you've learned, they're just telling you those lies to make it easier on themselves.
Lastly, how much do kids actually enjoy believing in Santa Claus and how much of that joy is misremembered nostalgia by adults? Check out a line of nervous (if not outright terrified) kids waiting to see Santa at the mall, and then try to talk about the joy of Santa belief.
If you haven't read it, Tom Flynn's "The Trouble with Christmas" is a great book about the horrors of Yuletide.