There are clues so for most kids it isn't such a shock.
As others have said, the multiple crap and vastly differing FAther Christmas's at grottos are noticed by children from the age of 4, especially when they have dark hair poking out from under their beard, or a strong Scouse accent. And especially when they ask you what you want for Christmas and you think "What are you on about, I wrote you a long letter only a few weeks back telling you all this?"
It was always my mum's handwriting on the tags. PLus we sometimes got second hand presents I think (she denies this, but if you've got a modicum of intelligence, you can tell if set of something has already been used as the box is slightly tattier). I used to think that if it were real then all children would get new presents as they were supposed to be made by the elves. And actually, when I thought deeply about it, there were lots of things that the elves couldn't make in their lapland factory with their hammer and chisel, like Mister Frosty and a handheld Pacman game 
Plus, why was my mum so keen for us to ring things in the Argos catalogue - surely Father Christmas just KNEW what we wanted, by magic?
Also, why were there charity things saying that some children got nothing? In fact, my mum used to take us to the children's home sometimes with toys we'd outgrown and say that they didn't have much. I used to think that Father Christmas wouldn't forget them just because they were in a children's home, so what was going on? 
And, why, when you visited your friend's house across the road, did they have so much more or less than you? Did that mean that they had been naughtier or nicer than you?
There's the whole chimney thing....."he gets in by magic" just doesn't cut it after a while. Plus the "leave a mince pie and glass of sherry for Santa" really doesn't ring true when you know there are millions of mince pies for Santa to eat, and he'd be done for drink driving if he had to have all that sherry.
There was the Christmas that my dad came into our bedroom on Christmas Eve and sat staring at us to check we were asleep so we wouldn't realise he was Santa. Thing is, he didn't realise we were just lying still, and we heard all his huffing and puffing as he lugged the bagfuls of presents down from the loft.
Little brains get to thinking that none of it makes sense.....it's not much of a surprise when kids are told the truth. But I do remember feeling annoyed with my mum and dad that they'd kept up the pretence that long and told me lies about the legitimate questions I asked her above.