I don't think entitlement has much to do with delusion, except maybe delusions of grandiosity, but I don't think entitlement alone is sufficient enough to make that diagnosis.
People can be irrational and mistaken. Irrationality isn't a mental illness. It's the default way our brains work. It takes study and practice to become more rational by overcoming our irrational instincts. It takes discipline to overrule our heuristic mind, and often it can take careful focus to scrutinize something rationally that we otherwise wouldn't. Rationality is a skill, not something innate.
I do think that many of the beliefs that I do not personally hold are mistaken. I think that's common. It could just as easily be the case that I'm mistaken, too, and one or more religions are an accurate reflection of the external world. For all I know, Jesus really was the son of God or Mohammad really was a prophet. Maybe I just haven't found or recognized the right denomination, the right way to pray, etc. Actually, this concern is why I'm on the forum at all. I want to expand my horizons in the possibility that I'm wrong in my position.
So, under the assumption that believers are actually wrong, that can usually be explained by their lack of education, really. Given the fact that education is notorious for really only being available to wealthier people (and, yes, I'm including middle-class people from many first-world nations here) I think it's actually maybe a little classist to assume that believers should know better. Or that they're less intelligent or less sane simply because they hold beliefs that are likely to be incorrect.
For something to be a delusion, it has to be held with conviction in spite of good evidence and argument to the contrary, but this is more than mere stubbornness. When someone is delusional, it's not that they refuse to argue in good faith or that they are willfully ignorant. It's not that they're so misinformed that they can't recognize good evidence or good argumentation that should convince them, or that they believe so much misinformation that new evidence is easy to dismiss as an outlier or something. It's not inconceivable that someone could rationally come to the conclusion that scientists fabricate evidence for evolution in order to lead Creationists away from God; it depends on the information they have available to them and how they were raised.
Delusions are very different. Firstly, they come from magical thinking, not social reinforcement, theology, authority, philosophy, etc. While most religious beliefs probably originate in magical thinking, the beliefs themselves are rationalized in a broader philosophical and cultural context. Buying into the rationalizations for a belief that comes from magical thinking is not, in itself, an example of magical thinking. And some degree of magical thinking is rather normal; it's usually not severe enough to cause significant disorder in someone's life alone, so it doesn't rise to the level of pathology. Even if someone believes in one form of religious magical thinking, which I admit is common, they are not normally adopting that form of magical thinking from a place of irrationality. They adapt it because they have a reason to, even if it's a poor reason. Delusions, by contrast, are unreasonable and emerge somewhat spontaneously.
Furthermore, a delusion is more than just a belief formed by severe magical thinking. It also has to meet two other, rather important criteria. Firstly, the belief itself has to cause significant disorder in their life. Most believers can hold down a job and maintain their relationships, so their functioning isn't impaired enough by their beliefs for them to be unhealthy. This more or less discounts the idea that they're delusional on its own.
Secondly, a delusion has to be held with absolute conviction. Believe it or not, I'm pretty sure the majority of religious believers don't really come close to this. Believers with the most conviction simply tend to be more vocal. Your average religious person has a set of beliefs that was instilled in them by their parents and/or community when they were young and has simply never had them seriously challenged. The ones who are challenged in the right way might deconvert or convert to another religion. That's pretty far from delusion. In fact, many religious believers will find themselves changing their position or interpretation of doctrine or dogma over their lives, just on their own. Again, that's a far cry from the rigidity you would expect from a delusion.
I don't think the comparison is remotely fair, to be honest.