I'm an ethical egoist - so my opinions here are likely to be off topic. Perhaps that makes non-utilitarian preferences seem less unreasonable to me, though.

If someone prefers saving 9 lives at p = 0.1 to 1 life with certainty - well, maybe they just want to make sure that somewhere in the multiverse is well-populated. It doesn't necessarily mean they don't care - just that they don't care in a strictly utilitarian way.

If you are risk-neutral, I agree that there is no reason to diversify.