Roddy "Rowdy" Piper said "They Live" is a documentary and it's director John Carpenter expressed similar things.
While not really a celebrity, Rob "The Baron" Miller, formerly of the legendary crust punk band Amebix, currently in the band Tau Cross is obviously aware things are not as they appear based on his lyrics.
Sakvei, of the Japanese hardcore punk band has also expressed some intresting views via his art, although it's hard to know how much he actually believe, how much is him playing the role of "absolutely insane Japanese punk rocker", or how much of it is the fact that a lot of accounts state he is sort of insane.
...yeah, don't pay much attention to celebrities.