They almost certainly are on the margin (think taylor series approx of utility function). Get to the point where you are talking about killing a significant fraction of the sparrow population, then there's no reason to think so.

To be clear: are you claiming that utilities are not additive? That there is some level of Bad Things that two (a thousand, a billion ...) times as much is not worse? I've seen the position advocated, but only by appealing to scope insensitivity.