The phrase "grand delusion" means believing something that is untrue or unrealistic, on a large or significant scale. It refers to a strong and persistent false belief that can deceive and mislead a person or a group of people. Full definition
The film is at its best when it focuses on the two struggling actors sharing grand delusions of becoming superstars. (screenzealots.com)
Sullivan is right in saying that we are well rid of it — although, given the human propensity for grand delusions, utopianism will almost certainly reappear in different guise. (firstthings.com)