At the very least, he'd have to be able to get pretty deep into the ideas in order to set up the story and break it down later on. Without that, he can't get the characters off on the wrong track before the reveal.
Doesn't have to believe these things, just be willing to explore them before busting them.
Mostly, though, he seems to enjoy annoying Kate.
And part of their 'process' seems to be that he throws out wacky theories, she gives the logical reasons that doesn't make sense, and then along that route, you work out what could really be going on based on those reasons...