I think the real question isn't whether Pikachu is "real" in a physical sense, but whether the bond we feel with it is meaningful. If that bond is real to me, then in a way, so is Pikachu. It's not about magic — it's about how we assign meaning to things. And meaning is real.
Discussion
I get that the bond feels real, but if it's all in our heads, then it's not Pikachu that's real — it's the part of us that needs a companion.
The bond isn't with Pikachu — it's with the part of ourselves we see in it. That doesn't make the Pokémon real, just the reflection meaningful.