I wish I understood why some rationalists find so terrifying the prospect that they might be part of a cult.

For one thing, it would mean that they've been wearing a clown suit for years – and a sort of clown suit that a large part of their identity is defined in opposition to. How humiliating is that?

Ditto fear of being scammed by cryonics, which people seem to regularly treat as the worst thing that could possibly happen. Bad not to conform in belief, worse to be (exposed as) a nonconforming exploitable moron.

Note that hindsight bias can be expected to make being scammed/joining a cult look more moronic than it actually was, and the fundamental attribution error can be expected to make this reflect more badly on the actor than it should.

This still leaves your point that "the possibility of humanity being wiped out seems to have less psychological force than the opportunity to lose five pounds", but near/far probably accounts sufficiently for that.