It seems like you are assuming that the only effect of dying is that it brings your utility to 0. I agree that after you are dead your utility is 0, but before you are dead you have to die, and I think that is a strongly negative utility event. When I picture my utility playing this game, I think that if I start with X, then I draw a start and have 2X. Then I draw a skull, I look at the skull, my utility drops to -10000X as I shit my pants and beg omega to let me live, and then he kills me and my utility is 0.

I don't know how much sense that makes mathematically. But it certainly feels to me like fear of death makes dying a more negative event than just a drop to utility 0.