As long as you recognize it as a fantasy at the end of the day, and not take it too far and devote hundreds of hours to it. I played over 5,000 hours of video games many years ago, which is a fantasy world, but that is different.
I went from being in your same situation to dating gorgeous women, to now being back to where I originally was. I am completely confused and crushed and demoralized as to how I was able to date these women and now end up where I started, zero interest from anyone. I am considering becoming celibate, partially by choice. I have had too many screwed up toxic relationships where I attract negative or unstable people. I also am convinced I turn off most women initially and I am average or below average in looks. I look very creepy, and when i finally do talk to people I tend to say creepy things or talk like a robot.
From my experience with women, it is never as perfect as it is made out in the movies, or as you would see at first glance in public. If you want to have sex, she may not feel like it and want to just sit in silence that night. If she has a major event in her life or tragedy, she may want to not see you for a few weeks or a month until it is sorted out, especially if kids are involved. It isn't like with a girlfriend, someone is always on call to support you or be there for sex or companionship. I think you can find those things here and there mixed in, but it is pretty rare. Some women i was with gave great advice, but it was in between us arguing or whatever chaos was going in in public. That was a huge misconception I had about women and relationships, that the person you were with was a solid rock, and you were kind of adding a support system and a superwoman to lift you up and whatever. All those things are scattered in between arguing and whatever obstacles come up in your lives. A big problem is, if you are seeing someone, and they go through some tragedy or problem, you must be able to say to them, "I am ok with you needing a month or two alone while you figure this out or deal with this" if that is what she needs. If you are single, you are not expecting any human contact. If you like or love that person or are obsessed with them, being able to give them space for an extended period for whatever reason is hard as freaking HELL.