You may just have to accept that you cannot know what it's like to feel these things, because your brain isn't wired for it. (And be glad that you can't; trust me, you don't want to.) It doesn't matter that these things "aren't real", because in the given moment, the fear-response is activated, and the Fight/Flight/Freeze response kicks into high gear. (I know it's usually just fight or flight, but I actually tend to freeze, and I confirmed with my therapist that this is another third aspect of the same basic response.)
BTW, for the record, I'm 28. I'm not speaking as a scared little child or an emotionally unstable adolescent. For me, one of the horror games I just cannot play is Slender: The Eight Pages, and I know people my own age who simply refuse to play Five Nights at Freddie's.
In my experience, I've seen that some people are more logically-inclined, while others are more emotionally inclined (broadly speaking, of course). And in some cases of the latter, such as myself, certain emotions can get SO STRONG that they override all logical processes and can completely take over behavior. If you at least have any phobias, you should know how that feels.
Thank the Gods I don't suffer from visual or auditory hallucinations. I don't think I could live like that. (Again, those "ghosts" I "saw" of a bear and a dolphin were when I was just on the edge of sleep, and in any case were barely visible even though in the center of my vision; IOW, I was basically half-dreaming, so they don't count.) But that does bring up another problem, which brings this tangant back to the OP.
I once saw a quote (not sure who said it first) that said, "Reality is that which, when you stop believing in it, doesn't go away." And I couldn't help but immediately think about people who do suffer visual and auditory hallucinations even while wide awake (and not under the influence). For such people, no longer believing in the things they're seeing/hearing doesn't make them go away. Therefore, by the quote's definition, these things are very much part of reality. And I can be pretty sure that in the majority of cases, they don't want to see these things. Yet by the OP's admission, this lack of desire should make it stop.
Now, to be clear, I don't think the broad premise of your argument is wrong. Rather, I think it needs a bit of tweaking to account for these things. Even when I believed in ghosts, I never saw them. I really really really REALLY want bigfoot to be real; never saw him. I actually do believe in the Gods' existence; outside of dreams which don't count, I've never seen them. However, I do have a tendency to interpret (that is, metaphorically "see") things in the world as "signs" from the Gods. Being Heathen, that of course means I tend to "see" a lot of meaning whenever Crows are involved (since Crows are so closely related to Ravens... which don't really fly around here to my knowledge.) Now, I'm well aware that these meanings are not inherent to the events themselves, but frankly I don't care. Even at the bare minimum, seeing these "meanings" offers great inspirations for stories, music, artwork in general... or even just ideas to meditate on.
So, I'm not so sure belief is really the key point. I think a combination of "emotional expectation" and "confirmation bias" are more at play, here. Even though I didn't really believe any real ghosts were around after seeing PA, I did emotionally expect to see one, and had I not spent most of those months waiting that fear out (which thank the Gods it did), confirmation bias might have caused me to "see" a ghost out of something mundane in the dark, even if it were just the dogs' glowing eyes.
