Just as a point of 40K pseudotheology, I've never seen it indicated anywhere that belief causes a warp entity to exist. Warp entities are congealed emotions, not congealed beliefs. Everybody in the galaxy can believe in the Omnissiah and it does not make it real.
The process is
billions of souls feel generous --> generosity congeals in the warp --> Santa Claus comes into existence
NOT
billions of souls believe in Santa Claus --> Santa Claus comes into existence
(Incidentally, this is why fan narratives about the Emperor being or turning into a Chaos god don't make any sense.)
Edited by bogi_khaosa