We seem to be thinking of slightly different problems. I wasn't thinking of the mugger's decision to blackmail you as dependent on their estimate that you will give in. There are possible muggers who will blackmail you regardless of your decision theory and refusing to submit to blackmail would cause them to produce large negative utilities.
And as I said my example about a blanket refusal to submit to blackmail was just an example. My more general point is to evaluate the expected utility of your decision theory itself, not just the individual decision.
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.