Because, as near as I can calculate, UDT advises me too. Like what Wedrifid said.

And like Eliezer said here:

Or the Countess just decides not to pay, unconditional on anything the Baron does. Also, if the Baron ends up in an infinite loop or failing to resolve the way the Baron wants to, that is not really the Countess's problem.

And here:

As I always press the "Reset" button in situations like this, I will never find myself in such a situation.

EDIT: Just to be clear, the idea is not that I quickly shut off the AI before it can torture simulated Eliezers; it could have already done so in the past, as Wei Dai points out below. Rather, because in this situation I immediately perform an action detrimental to the AI (switching it off), any AI that knows me well enough to simulate me knows that there's no point in making or carrying out such a threat.

I am assuming that an agent powerful enough to put me in this situation can predict that I would behave this way.

It is also potentialy serves decision-theoretic purposes. Much like a Dutchess choosing not to pay off her blackmailer. If it is assumed that a cheesecake maximiser has a reason to force you into such a position (rather than doing it himself) then it is not unreasonable to expect that the universe may be better off if Cheesy had to take his second option.