No-ones "reality" is based entirely on the observable. Even in psychiatry, it is permitted to believe the improbable. The problem is if you allow a belief to present itself as a harmful fixation or translate into harmful actions.
For instance, I believe in aliens, Bigfoot, the Loch Ness monster, fairies, and other "nonsense". I do not allow these beliefs to affect my life (I'm not wasting time hunting for proof that these things exist) and I can objectively say that maybe they don't.
If his beliefs cause him to behave in a harmful manner (such as treated recognized disorders as "possession" or to interpret a non-christians sessions through a Christian lens) then yes, it's a problem. If it is merely something he believes, but doesn't cause him to behave in an irrational manner, then let it go.