At the end of the day I am left with the decision to either abandon unbounded utility maximization or indulge myself into the craziness of infinite ethics.

So, I think about things like infinite ethics all the time, and it doesn't seem to disturb me to the extent it does you. You might say, "My brain is set up such that I automatically feel a lot of tension/drama when I feel like I might be ignoring incredibly morally important things." But it is unclear that this need be the case. I can't imagine that the resulting strain is useful in the long run. Have you tried jumping up a meta-level, tried to understand and resolve whatever's causing the strain? I try to think of it as moving in harmony with the Dao.