Part of the theme I see running behind the Fae is that, as much as they hate Creation, they cannot help but to be drawn to it and defined by it. They can resist, the mightiest can deny themselves even a look into Creation, but even that denial snares them. No matter how they view it and react to it- hate, addiction, curiosity, contempt, they nonetheless begin an orbit around it.
It's like a zit, or sore. Even if they hate it or want it gone, they'll pick at it and focus on it, even if they know or feel they shouldn't. It is the one real thing in their unreal world, and so they can't avoid it. All their pretend and play is obvious for what it is around it. But they've tried getting rid of it. They've tried ignoring it. They've tried entering it, and done so many things about it that interacting with it becomes a festering obsession that they can't get rid of, no matter how transient and changing they are.
Once you get to that level of obsession, and combine it with the mind of a Fae... well, that kind of demented outlook can drive you to do really strange things. If anything, I think it makes a ton of sense for a Fae to make their own little version of Creation which they can have control over and enact out their whims upon, as they cannot with the real Creation. Oh, they might not keep it forever, it might be a fancy that they tear apart in a fit of pretend rage- but I can definitely see them making it. It fits their general reaction to Creation, if you ask me.