"Wishful fantasy or something" in the way you use it seems an odd sort of way to describe playing a fantasy (or sci-fi) roleplaying game, doesn't it?
These are, after all, different games from the usual board game...they require a lot of suspension of disbelief from all the participants, good story-telling to create the mood and set the stage (again, from all involved), building over a long period of time a complex alter-ego to act as your avatar within the the game environment, etc.. And these things can last for as long as you want within the context of a campaign.
I have always thought of them as less game (though there are gaming elements to maintain the continuity of the rules and game environment within the RPG structure) than as a co-operative process of an evolving storyline. The ref sets the ground rules, the players add the uncertainty as the process moves along, and both sets tie it all together and "write the book".
Granted, that may be a fancy way of saying RPG's are just another sort of game, and certainly I've seen and played ones that felt like that's all they were. But I'd like to think that the reason I've had so many players compliment me on the depth, interest, and fun of my campaign being something suitable for fiction is that I treat it more like a movie I'm directing or book I'm writing than like a game of Princess Ryan's Star Marines.
But in the end it all fits into a couple of cardboard boxes to stash in my closet and I return to my real life at the end of a session (or after spending some quiet time writing and drawing things that are in it) just like I would when finishing any hobby. If that's what you mean. And I stopped feeling like I have to remind people "it's only a game" a long time ago - heck, all my hobbies are "only games" in one way or another is you want to go that way.
