The von Neumann-Morgenstern theorem indicates that the only reasonable form for U is to calculate the expected value of u(outcome) over all possible outcomes
I'm afraid that's not what it says. It says that any consistent set of choices over gambles can be represented as the maximization of some utility function. It does not say that that utility function has to be u. In fact, it can be any positive monotonic transform of u. Call such a transform u*.
This means that your utility function U is indifferent with regard to whether the distribution of utility is equitable among your future selves. Giving one future self u=10 and another u=0 is equally as good as giving one u=5 and another u=5.
I'm afraid this still isn't right either. To take an example, suppose u* = ln(u+1). Assuming 50-50 odds for each outcome, the Eu for your first gamble is ln(11). The Eu* for your second gamble is ln(36), which is higher. So the second gamble is preferred, contra your claim of indifference. In fact, this sort of "inequality aversion" (which is actually just risk aversion with respect to u) will be present whenever u* is a concave function of u.
The rest of the argument breaks down at this point too, but you do raise an interesting question: are there arguments that we should have a particular type of risk aversion with respect to utility (u), or are all risk preferences equally rational?
EDIT: John Broome's paper "A Mistaken Argument Against the Expected Utility Theory of Rationality" (paywalled, sorry) has a good discussion of some of these issues, responding to an argument made by Maurice Allais along the lines of your original post, and showing that it rested on a mathematical error.
I read summaries on the web yesterday (can't find them now) that concluded that the theorem proves that any utility function U that satisfies the axioms must simply be the expected value of the utility functions u. Wikipedia says U must be a linear combination of the function u and the probabilities of each outcome, which is more vague. But in either case, U = ln(u+1) is not allowed.
...To take an example, suppose u = ln(u+1). Assuming 50-50 odds for each outcome, the Eu for your first gamble is ln(11). The Eu* for your second gamble is ln(36), which is h
I said this in a comment on Real-life entropic weirdness, but it's getting off-topic there, so I'm posting it here.
My original writeup was confusing, because I used some non-standard terminology, and because I wasn't familiar with the crucial theorem. We cleared up the terminological confusion (thanks esp. to conchis and Vladimir Nesov), but the question remains. I rewrote the title yet again, and have here a restatement that I hope is clearer.
Some problems with average utilitarianism from the Stanford Encyclopedia of Philosophy:
(If you assign different weights to the utilities of different people, we could probably get the same result by considering a person with weight W to be equivalent to W copies of a person with weight 1.)