I don't remember believing in Santa, but I do remember playing Santa and doing all the Santa related activities (pictures, cookies, etc.). My Mom says I never thought Santa was real, and they never tried to make me. But she says I loved Christmas and the Santa story and I loved pretending it. She says I basically understood that the story of Santa is about the fun and spirit of Christmas and that I knew that you don't have to believe he actually exists to enjoy it. So she encouraged it without feeling like she lied to me. I don't feel like I missed out, and I love the holidays.
This is the perspective I take with my own kids. I feel really strongly that trying to get your kids to believe in Santa is lying, and I never wanted to lie to my kids. But at the same time, I never didn't tell my daughter about Santa. We read the books and left out cookies, etc., and she sort of just picked it up. I have never discouraged OR encouraged it. If she probes me I say, "Well, what do you think?" But if she ever out and out asked me I wouldn't lie to her. I am walking a fine line here - I don't want to ruin it for her if she believes, but I don't want to encourage her and then have her be disappointed. She is five, and I suspect that this year, she will ask. That's okay with me.
At nine, I suspect your daughter knows the truth, but she plays along with you because it is fun and becuase it seems to matter to you. As long as it stays fun for her, I would just enjoy it and not worry to much. In the meantime, consider showing her some movies or books that keep the fun going with a little more marture thinking - books about St. Nick or the movie The Santa Clause.