In the grand scheme of things, I'd say it mostly depends on the kid or if there's something that you see taking place during an angle, segment, match or whatever that you feel you need to speak to the kid about as a parent.
If the worst thing that a kid sees is his favorite wrestler occasionally losing or being "injured", I think it's ultimately okay to let them discover on their own that wrestling isn't 100% real. Or, if you want to tell them that it's scripted anyhow, that they're all acting like they've seen in movies, I'm not sure I really see the harm. Just do so in a way that doesn't make them feel as if they were stupid for ever thinking it was, don't ridicule them, poke fun at them, etc. Of course, depending upon the kid, his/her age, etc., there's no telling whether he/she will believe you or not.
However, if you see something going on that's controversial, like we saw early on with Jack Swagger & Zeb Coulter, especially if the child is Latino or partially Latino, I think that a parent should step in and inform the kid that they're just acting and that the thing is scripted. After all, it's a proven fact that kids can be influenced by things they watch on television and if a kid who believes wrestling is 100% real and that Coulter meant everything he was saying, a parent should explain things. Hell, look at how many adults of all ages got in an uproar over it whether they be regular people or politicians. Part of the reason why is because many people from all walks of life have been successful in intertwining illegal immigration and racial hostility to the point where you can be quite often painted as racist if you're against undocumented people coming across the border. Otherwise, who knows, your kid might wind up going to school the next day and wind up saying something that could be racist or imply that one of their classmates is here illegally because he/she is Latino without knowing the ramifications or real meaning of what he/she might be saying. Again, explain it in a way that doesn't make the kid feel embarrassed or humiliated.