When the magician says "this is an illusion" I think (like others) DL is talking to us (viewers) about the film. And he just says : all you have seen until now is an illusion (a dream). DL is the magician.

Another example: When Robert Smith talks to Adam.
Adam is perhaps the viewer and Robert Smith = DL.
DL : You see Adam (viewer) ... there are some suggestions (about the meaning of the film) that are to be brought forward (later in the film) ... and I know you said you would entertain suggestions and that's all anybody here is asking you to do.
Viewer : What are you talking about?
DL : An open mind...
So DL advises us to keep an open mind to understand the film

A last example (it's a funny game )
Viewer : Don't make it be like this!
DL : Oh, sure. You want me to make this easy for you? (you want me to explain the film) No! No-fucking-way it's not gonna be! It's not easy for me!!! (not easy for me to suggest the meaning of the film without explaining it)

I think the last one ("don't make it be like this") is quite a stretch, but I think the other two, the Adam-related ones are quite valid. I especially think this because the Cowboy forewarns Adam that he'll see him again twice if he does bad. Adam does not see him ever again in the film (even though they are both at the dinner party, we don't see them see each other). Instead, we as the viewers see the Cowboy twice when he wakes up Diane. This fact, in addition to the ones you mention seem to project messages to the audience through Adam, and like Adam, us, the audience is helpless while trying to understand what's going on. What's going on Cynthia?