first off, how would we *know* we were being deceived? did the scientist poke a probe into our brain and say "i am deceiving you"? in that situation, i'm not sure it would be possible to know that what we were experiencing was not really happening.
suppose, though, that somehow you did learn that your entire life had been one big lie, a la mad scientist or crazy deity. of course you wouldn't sit there and say "deity said the sky is blue, and i know s/he always deceives me, but i still think the sky is blue." if deity said the sky was blue and you knew s/he always lied to you, you would launch an investigation to discern the true colour of the sky. and i think that if crazy deities were the case, we'd all become pretty darn paranoid and cynical regarding truth.