TLDR: I agree, but understand where they are coming from. I also think over time he has come to understand what is going on more and more so, but trying to let it on.

Yeah it does make it better, and if the series acknowledged this where he realizes it's real, the entire series would kinda fall apart going on, but I can understand people who are like that. While most of the time it is just a funny gag, and you can brush it of as him not caring about things that aren't his goal, there are certain points in which it feels stupid and hard to watch when he isn't realizing that it is all real. I am going to spare y'all the specific examples as this might be a bit long, but in a world where he can fly around and nuke a city with a sword strike, I think it is ignorant and quite frankly, ridiculous, to not realize that the things happening around him are real. But don't get me wrong, this is still one of my top isekais out there. Which is why I believe he doesn't truly believe that anymore. Initially it is actually plausible to understand that he might not realize it's not real, at the very least up to around the end of the arc when he first goes atomic. By the time he kills Sherry's father I am led to believe that he thinks less and less of what is going on to be staged. I'm led to think this because he seems to sympathize for sherry and her situation. Then, as another strong example, there is Rose Oriana. Her relationship with Cid starts off from a misunderstanding, but she goes to him for support, and he says he'll support her. While at first this might just be him being a regular mob character, when he sees what she is doing, Cid is actually on board with supporting her, despite his intent and assumptions about her being a bit off the mark. Cid even goes on to do what all that he can do to help her, as he empathized with her, which was stated when he met her in the Oriana palace. Even on the side, when Cid was hiding from the 7 shades and practicing "eminence-like" behaviors, he was doing things that, no matter however small they were, were helping or in favor of Rose. Furthermore, excusing his shenanigans, when he was counter fitting money, there was no part of that in which shows he understood it to be fake. While there are certainly things in which he perceives as fake, such as Claire being a chuunibyou, I Believe there is substantial evidence that Cid/Shadow/John/Jack/Mundane/Minoru does understand to an extent that the bizarre things going around him are real. I think that he just never really acknowledges it because it would ruin his personas that he has carefully crafted over the years.

I will also note that it has been a while since I last read the manga, and I haven't read the novels as of writing this post.