That's why it's called fiction and not a documentary. Some of the better episodes have the supernatural explanation as not necessarily being the 'correct' one. It's what we see on the screen, and what Mulder (typically) sees, but there's an ambiguity over whether it's only what he wants to see. Even the alien conspiracy stuff hinges on disinformation and what the conspirators want to feed him.
At the age of five, Skagra decided emphatically that God did not exist. This revelation tends to make most people in the universe who have it react in one of two ways - with relief or with despair. Only Skagra responded to it by thinking, 'Wait a second. That means there's a situation vacant.'
