Well, also part of it is that for most people, utility isn't linear in money.

Imagine someone starving, on the verge of death or such. This offer is more or less their very last chance at this particular moment to be able to survive.

500$ with certainty means high probability of immediate survival. 1 million dollars with 15% chance means ~15% chance of survival.

500$ can potentially get enough meals and so on to buy enough time to get more help.

Again, not everyone is in this situation, obviously. But this is a simple construct to demo that utility isn't linear in money and that picking the 500$ can, at least in some cases, be rather more rational than the initial naive computation may suggest at first. (Shut up and multiply UTILITIES and probabilities, rather than money and probability. :))

Having said all that, probably for most people in that study, picking 500$ was the wrong choice. :)