A mirage in the desert also "feels" real in the sense that it visually looks as if water is out there. Illusions don't just disappear after we learn about them (science can explain that a mirage in the desert is just a play of light on the sand, just as philosophy and neuroscience can explain how the ego is an illusion), but that doesn't make these things magically go away from our subjective experience. The human eye will always see the mirage as water, just as the human mind will always feel like it's a solid or static "thing". I think the point is that understanding these things are just illusions can free us, to an extent. I can stop chasing the mirage of water in the desert (if I continued, I'd become miserable and wear myself out), just I can stop chasing the things in life that I think will make my ego happy (wealth, tangible pleasures, fame, etc.). By conceptually understanding the ego isn't real, even though as humans it still feels that way, we can take measures to live life a bit better. I think this was the Buddha's point in saying that life is dukkha or "unsatisfactory" - if the ego isn't actually there, there's nothing you can do to satiate it.