In Adam's case, I wouldn't say anything. His story is just a story. It does no harm to anyone.
Of course, children should not be encouraged to lie. They should however, be taught how to take some stories with a bit of healthy doubt.
I would express disbelief if a statement was bigoted or patently untrue. I would also speak up if a statement was potentially dangerous in other ways. For example, we did express disbelief when a relative announced that she could get all the protein she needs by eating a head of iceberg lettuce a day.