Does their thinking you received information have anything at all to do with your receiving information, even slightly correlated? If it does, then you have a situation in which receiving information hurts you and the proof only goes through because it doesn't consider the other agents.

This is a little interesting. The snap reply is that correlation does not imply causation, and we are discussing causation. But this snap reply implicitly privileges CDT over EDT and hence indirectly denigrates TDT/UDT. So, OK, your receiving information, through the correlation with someone else receiving information, is negatively correlated with your expected utility. And I continue to claim that you receiving the information doesn't really cause the harm only because I still don't understand the virtues of TDT/UDT.

It explicitly considers only cases where the information does not change payoffs.

Even more interesting. Are you thinking of cases in which my enjoyment of a movie is ruined because someone has given me an unwanted 'spoiler'? Yes, that is a counterexample to the theorem. But I think that the reason why the theorem fails is that in this case naive consequentialism fails. It isn't the end-result that generates utility. It is the path to that result. And possession of the spoiler information short-circuits the high utility pathway.