So, choose your illusion, then?
Well, if you feel your life is just an illusion, then you're just trading one illusion life for another, but the difference is, again, that Lust basically confirms that what she's giving you is an illusion, whereas in the potential, supposed illusion the MC is already living, he has agency over his actions. So, give up your current fake life with fictitious agency for a different fictitious reality where you're trapped in endless illusory pleasure with who knows what those things really are, assuming they're not just total figments of the MC's imagination? Even if it's false, I'd take the illusion of agency, because then at least it would appear that I have some control. Besides, even if the whole reality is fake, it's looking like the MC is on his way to a harem ending on his own in the game's normal reality, so why end the adventure early?