Yeah you have to give a legitimate reason. Sit down with them and say "this is the direction I want my research to go, I would love to continue it here at School X, but I understand that it's not a priority for you, therefore I am thinking about applying to other schools..." This is about a year or two in the future so you have plenty of time to think about it. They might be upset, but if you do it gracefully they really have to take your excuse (research interest) at face value. Besides, no one wants to mentor a student and put all that time and money into someone who doesn't really want to be there.