Yvain comments on Boredom vs. Scope Insensitivity - Less Wrong
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Perhaps (this is a descriptive and not a normative answer) we value believing we're good people. If we know that we're doing a sub-maximal amount of good in order to feel better, we won't feel like good people anymore. That is, a particular logical sort of person only gets the warm fuzzies when they know they're acting objectively rather than trying to maximize warm fuzzies.
Example: Sally can donate $100/month to charity. She likes dogs, so she donates it to help stray dogs, and feels like a good person. Then someone points out to her that unless she thinks animal lives are more important than human lives, she should donate it to help humans. Now if she donates to animal shelters just because she likes animals, she will feel like a bad person because she knows she's more interested in fuzzy feelings than in actually doing good. Therefore, she donates to human-oriented charities. Now she knows that she's really helping other people instead of just feeling good about herself, and so she feels good about herself. Since she feels good about herself, she keeps doing it.