It's not the fact that he doesn't leave that's delusional, it's all the ideas he has about leaving that can't be based in reality as he has not experienced them.

It's similar to anyone who has strong opinions about something that they don't have evidence (scientific or experiential) to support.

Again, the delusion isn't that he's happy with what he has, it's that he appears to have some strong opinions about what it's like to, for example, live in London having never been there. A more evidence-based position might be "I'm happy with what I have and have no inclination to see or do anything else".

Also again, his delusions seem pretty mild.