Easy enough to understand her confusion. As she gets older, she'll be told not to believe in the fat guy with the beard, but still believe in the gaunt guy with the halo. Don't believe in the guy with the flying reindeer, but believe in the guy who walks on water. Realize that nobody can get to every house in just one night, or really know who's naughty and nice, except of course for the guy lurking in every house every night. Believe in the guy she'll never see, but not in the guy she'll probably see a hundred times between Thanksgiving and Christmas. Believe in the guy written up in 2000-year-old books, but not the one who leaves tangible presents under the tree.
Good preparation for believing that an invasion based on non-existent weapons of mass destruction was really about democracy, I guess.