Gene plays along with Finny's assertion that the war is not real because it helps him escape reality, just as it helps Finny escape his own reality. Throughout the novel, the war moves ever closer to Devon, and each of the novel's main characters deals with it in his own way. After Finny is injured, he denies the reality of the war, even while trying to find some branch of the military that will take him. Finny hates the idea that he will be left out and left behind.
Gene goes along with Finny, just as he always has. Gene has always deferred to Finny, first out of insecurity and later out of guilt. Gene is responsible for Finny's injury and lives with that guilt every day. By losing himself in Finny's illusions, Gene can avoid, at least temporarily, dealing with himself as well as the dangerous future each of the boys faces. Gene trains faithfully for the Winter Olympics of '44, keeping Finny's illusion alive.
It is Leper's emotional breakdown, however, that even Finny can't ignore. Finny gives up his efforts to push the war away:
When I heard that about Leper, then I knew that the war was real, this war and all the wars. If a war can drive somebody crazy, then it's real all right. Oh, I guess I always knew, but I didn't have to admit it.
It is only after Finny admits the reality of the war that Gene reluctantly gives up their mutual illusion:
I wish you hadn't found out. What did you have to find out for!
For a while, Gene had been able to escape from his own fear and guilt by living in the world that Finny had created for them, but illusion can be sustained for only so long. Gene regrets its loss.