Ironically, their mental health would actually improve if there actually were evil not-seens roving around attacking their in-group. It would signal their predictor was successful, giving them many positive brain chemical feedbacks, relax them, and and increase their net happiness... Even though their situation would be obviously and clearly objectively worse.

Brain health works in really dumb ways. Our increased analytic potential actually makes Skinner-Box training easier to do on humans than on pigeons. We are easier to train into being fooled and deceived than pigeons.