There's multiple interviews from over the years with people that worked very closely with him, including the person who was his publicist for a long time (or a very similar role, I forget exactly). You can obviously decide that it's all part of some long game of deception but it's just not needed. No one is trying to arrest him here and they haven't seriously wanted to for over a decade, he's become an institution like baked beans.
Well, for one, he can't film himself installing, e.g., fake artworks in the greatest museums in the world, as he did.
And, for those who don't know, he is from Bristol, England, the home of the band Massive Attack. I've been digging their music lately, especially their songs with the late Sinead O'Connor.