Perhaps the ambiguity at play between the real magician (with real secrets and skills) and his character--also noted by Whit Haydn--as well as the ambiguity at play inside and outside the frame of performance. When people joke, "Can you make my husband disappear?", they are underscoring the irony or humor of this ambiguity. There exists the "dilemma," as Whit Haydn calls it. The experience seems to be proved by the senses, and we respond, "No way! This is magical." At the same time, we know the experience cannot be real, cannot be truly magical.
Within the frame of the game, the ludic play between magician and participants, the proofs must seem real. (Perhaps this is why Michael Kamen is tempted to call the experience a "real time, real space" illusion.)
Outside the frame of the game, however, the conventional wisdom is that the experience is not really real. It's not even "magical realism" in the literary sense.
Derren Brown's discussion of this point follows, from _Tricks of the Mind_, a book written for thr "lay" public:
"Unless the performer is an out-and-out fraud, claiming to be absolutely for real, there exists in the bulk of any audience an acceptance that some jiggery-pokery must be at work. Now this experience of being fooled by a magician should be made pleasurable and captivating by the performer.... However, he is entering into an odd relationship with his audience: he is saying in effect, 'I'm going to act as if this were all very real; but you know, and I know that you know that I know, that it's really a game.' To an extent, we (as an audience) will play along with that game as long as we are rewarded by an entertaining show. ... While this may apply to pretty much any performance, such as that of a musician or a dancer, it is far more blatant within magic, and we know that magic involves cheating. (Also, magic rarely hides it's cleverness in real beauty or drama. It's too often ugly and theatrically vapid.)"
In discussing the frame of his own live and TV shows, Derren Brown admits that the mixture of psychology and trickery along with "esoteric principles, both honest and dishonest" leads to a result that is ambiguous.