I see no reason why it isn't possible for a Fae being to not stay with other Fae. The only other way I can imagine Santa making himself more clear is by saying something like "surely you knew I live among my own kind!". 

Really though, I would ordinarily say that both interpretations are equally possible but I think the WoJ's I posted make my interpretation much more likely.

Iron hurts Fae because they are Fae.

The Fae are mercurial beings of changing temperment. They are constantly changing and shifting. Iron on the other hand is a potent symbol of industrialism. We use it in large amounts of our devices. It is one of the most stable elements and one of the elements most closely tied with humanity. The Fae are beings of chaos while iron is an element of order. It carries tremendous symbolic power (and symbolism is closely tied to magic in the DFverse).

It's true that Harry is fallible when it comes to information about the Dresdenverse but Jim isn't and I have two quotes from him, the second of which flat out states that Santa is a Faerie.

Now that I think about it...the whole idea of mantles of power. It's got me thinking of an old series by Piers Anthony. The Incarnations of Immortality. The whole setup is similar - science/magic world, and mortals assume various Offices of power depending on the beliefs mortals have, the more believe, the more Power is vested in the Office. Wonder if I'm on to anything. Didn't Jim make some joke during his last online discussion thing that at least he's not having all his heroes related to one another - I think Anthony did that with the last book in that series. Nox?

Ah, I'm probably nuts.