Should people feel deceived when they watch magicians or illusionists?

Though most of us are always amazed by what magicians or illusionists can do, should we feel deceived by them? After all, they get paid to make us believe things in their performances that never actually happens the way it looks. David Copperfield is a great entertaining illusionist, but come on, did anyone actually believe that even he could REALLY walk through the Great Wall of China, or make the Statue of Liberty disappear and then reappear? Another thing,, it's been said that all magicians follow a code where they should never reveal how their tricks are done. Since we're already being tricked anyway, what could possibly be the harm in finding out how the tricks are done? Even the most talented performers had to start somewhere. They were'nt born knowing how to do what they can do.