Very good observation, as "The Magic Show" is indeed similar to "F For Fake" as Oja Kodar notes:
Kodar described Welles as a ‘human computer’. When working with multiple editing tables, he would go around the room and easily point at frames and different shots, and tell how to put them together, because in his mind he saw what the future movie would look like. He would also often take a scene from one of his films and put it into another. Such interchanges happened in "The Magic Show" where scenes have been co-opted for use in "F for Fake."
Also, in "The Mummy's Curse" clip (link below) -- which I assume is from "The Orson Welles Show" since it includes The Muppets -- Welles sagely comments about the inheirent "fakeness" of doing magic tricks on film:
WELLES: And if you you believe that, you'll believe anything. Of course you don't do you. You know perfectly well that I haven't murdered the young lady.
http://www.youtube.com/watch?v=1F1TZALo ... re=related