Positives and negatives is a key to this. I don't have a problem with crackpot ideas. Like I said, I actually enjoy watching ancient aliens (though I don't believe it).
I think it's really only an issue when the conspiracy leads to either harm to the individual or harm to others. Religion, for better or worse, is a red herring because it's a protected base. Simply put, any discussion about it is moot because the way it's handled (crackpot or not) is protected.
But generally, if someone believes in Sasquatch, no worries. Big deal. If someone believes you are Sasquatch and wants to capture and dissect you in the name of science ... Well maybe it's time for an intervention.
QAnon, as a relevant current example, is a delusion that is dangerous and so warrants some intervention.