It seems the reason why we have the values we do is because we don't live in the least (or in this case most) convenient possible world.

In other words, imagine that you're stuck on some empty planet in the middle of a huge volume of known-life-free space. In this case a pleasant virtual world probably sounds like a much better deal. Even then you still have to worry about asteroids and supernovas and whatnot.

My point is that I'm not convinced that people's objection to wireheading is genuinely because of a fundamental preference for the "real" world (even at enormous hedonic cost), rather than because of inescapable practical concerns and their associated feelings.

edit:

A related question might be, how bad would the real world have to be before you'd prefer the matrix? If you'd prefer to "advanced wirehead" over a lifetime of torture, then clearly you're thinking about cost-benefit trade-offs, not some preference for the real-world that overrides everything else. In that case, a rejection of advanced wireheading may simply reflect a failure to imagine just how good it could be.