Magic Shows:
Audiences know they are watching magic tricks. Even if they knew the secret and could accomplish the same thing, doing so would not improve their lives in any meaningful way --
unless their goal IS to entertain doing impossible things.
Mentalism Shows:
Audiences are not sure if what they are seeing is a trick. Many consider some types of ESP to exist in the real world and many understand the concept of body language and observation.
If the audience could read minds or tell you what poker hand you have, as examples, that would improve their lives in meaningful ways.