While reality may be under no obligation to conform to our desires, our desires are under an obligation to conform to reality, at the very least to the extent that we do not win a
Darwin Award.
Beliefs in the kinds of entities and ways of being that we lump together under the term 'transcendental', and the rituals and other behaviours that accompany those beliefs (or even, according to some accounts, precede them) are quite efficacious - particularly in building up group togetherness necessary for collective action of any kind. (If we are 'hard-wired' for anything, it is probably for the kinds of ritual complexes that involve song, dance and foot-stomping).
And while the form of knowledge which you subscribe to will not allow for evidence of what you might wish to term collective fantasies, other systems of thought will produce hard and fast evidence of their truth. The Zande, as Evans-Pritchard described them, were very matter of fact about witchcraft, and could show you evidence of its existence which, to their way of thinking, was irrefutable. Europeans just didn't know how to look properly.