Your utilitarianism has gotten the better of you. Not everything in life is pursued for a rational benefit, even if a rational benefit is a result of whatever it is you are doing. In fact, most of the truly important things in life--faith supreme among them--cannot be successfully pursued for utilitarian reasons, because they elude us if we pursue them in this way.
Aristotle's argument about happiness is like this: You don't do something because it will make you happy, Aristotle argued; in doing something virtuous, you become happy. Similarly, you do not believe in God in order to feel less frightened of death, or freer from existential angst. You believe in him because he exists, and because the message of Christ comports with what is deeply true about the universe. Calm, or peace of mind, or a lack of anxiety follows. If, however, you believe in order to achieve that calm, Christ taught that the calm would never follow. That's the catch of faith. It is its own reward.
There is also something callow in the notion that those of us who are believers are somehow copping out of authentic human dilemmas. Faith is not a happy drug. Indeed, I have often found that faith does not anaesthetize pain--it dramatizes it. I remember being in an intensive-care unit a year ago as one my closest friends died. I confessed to a fellow Catholic who was there with me at his bedside that I failed to find anything in my faith that helped me understand what was happening at that moment. She replied that what was important was not what our faith taught us about that experience, but what that experience taught us about our faith. Hers, I think, was the genuinely Christian approach. We do not believe to alleviate pain or doubt or human loneliness. We believe because it is true. At times that helps lighten the burden of human experience; at times it seems, oddly, to intensify it. Faith, then, is not an "appealing alternative" to facing the bleak fact of death; it is sometimes a consequence of facing it directly and not flinching.
As to your inability to understand the difference between faith and imagination, I think you have put your finger on something important. (There's hope for you yet. ;)) They are indeed very close. Faith, perhaps, is mankind's deepest capacity for imagination. It could be defined, in some respects, as our deepest imagining brought back to inform and question our human experience. And the very fact that such an imagining exists at all suggests to me that there is something to imagine. How else to account for it?
Why not begin by answering that last question first?