Under the best of circumstance, wrestling with the subject of belief is difficult: some people may believe while others do not, and some people may believe in something one day, but not the next. The situation with pre-conversion traditions is even more problematic, because the record is almost entirely from a post-conversion period.

In addition, since many of the best sources are Icelandic, there is little hope that the expansive geography of where Scandinavian languages is represented. Besides the issue of geography, there is also the factor of time: traditions by nature change over time, meaning that to understand the topic of pre-conversion Scandinavian traditions, we need to conceive of a vast three-dimensional matrix - something, say, the size of an Olympic swimming pool where every lane is distinct from every other one and where every meter of depth is different from the one above and from the one below. On top of that, imagine that most of the sources about this fluid yet diverse body of traditions were written from the point of view of someone seated on the side of the pool.

That is the nature of the problem one confronts when attempting to address your question. That said, there are some things that help frame your question. Internationally, most traditions are composed of fictional stories (we refer to these as folktales) and legends - narratives told to be believed, at least generally. Your examples of Santa is a species by itself: the great folklore theoretician Carl Wilhelm von Sydow (1878-1952) referred to these stories as ficts - stories told to children to be believed even when the adults did not believe them.

To the extent that we can understand what existing sources are telling us about pre-conversion belief, it seems that most of the stories can be regarded as legends - stories that were generally believed. Some are a specific type of this genre, namely etiological legends - narratives that explain the origins of things. The sagas are also filled with historical legends - narratives about the more recent past, but which have spent some of their time transmitted orally, shaped by that process. These, too, would have been believed - at least generally.

It is more difficult to see if stories within the existing body of literature were actually folktales. These were certainly told by pre- and post-conversion Scandinavians, but the earlier writers seemed more interested in recording what they understood to involve pre-conversion beliefs.

The answer to your question, then is that most stories that we have appear to fit into the genre of legend, narratives told to be believed. The caveats here is that the record is flawed and narrow, so it may not accurately reflect much of anything. In addition, we cannot be certain how universal belief was.

All that having been said, the records that do exist are the best we have, and when it comes to the documentation of pre-conversion traditions, what we have for the speakers of Scandinavian languages is better than some others. Like all things, what exists requires source criticism.