I totally oppose the idea of "behave or Santa will put coal in your sock" because it's a reward-based morality that you shouldn't teach your kids.
I completely agree with what you're saying here. As a kid, I thought Santa could read your mind or something, so I tried to force myself into not thinking of anything bad when Christmas came around and it stressed me quite a bit...
Also, on the other hand; I DO think it's a good idea to let kids figure the truth out for themselves. I specifically remember debunking the whole Santa thing when I was a little kid. I was in the kitchen with my mom asking her if Santa could get me "insert expensive product here" ( I honestly don't remember what it was ). She told me it was too expensive, even for him. I asked her: "But Santa is magical, couldn't he create it outta nowhere?". My mom laughed for a bit after hearing that, which eventually led me to the conclusion that he was indeed fake.
What I don't agree on however, is having so many fake magical entities (tooth fairy, three kings, Santa, etc.), since I think that makes it even worse when you discover the truth.