Just as well ask, "Do illusions bend light, sound, scent, taste, and texture, or are they all in the mind?" If they use existent energies and scentuoles, as well as stimulating false tactile impressions, then yes they will show up in a mirror. If, however, they are simply directly affecting the receptors in the victim's brain, then the illusions will only appear to show up in a mirror to those affected by the illusion.
Further, the composed illusions would necessarily be easier to detect and disbelieve, because they would be dependent on the artistry of the caster, while the directly-affecting illusions would be virtually impenetrable, because the victim's own mind would be supplying all of the necessary foils to detection, once enspelled.
Is the thief invisible because the light doesn't touch her, or because your mind tells you she is not there?