Cunningly led us on: I fancy that's wrong (8)
I believe the answer is:
delusion
'wrong' is the definition.
(thesaurus)
'cunningly led us on i fancy' is the wordplay.
'cunningly' indicates an anagram (a cunning or tricky form of the letters).
'fancy' is an anagram indicator.
'led' with letters rearranged gives 'del'.
'on'+'i'='oni'
'oni' with letters rearranged gives 'ion'.
'del'+'us'+'ion'='DELUSION'
'that's' acts as a link.
(Other definitions for delusion that I've seen before include "Misguided belief" , "False or mistaken belief" , "False impression" , "Belief contradicted by reality" , "Misapprehension" .)