If you think that e.g. $100,000 is more valuable immediately after a fire which has a tiny chance of happening, then buying insurance with that payout in the event of a fire is worth more to you than buying a lottery ticket which has independent odds and the same expected $payoff.

Provided that the "valuable" in that sentence is denominated in utility rather than dollars, that seems obviously true to me. Since the utility curve over money is more or less logarithmic, a payment of $100,000 tied to a black swan that wipes out most or all of your net worth (as might be expected in the event of e.g. a fire totaling a house you haven't finished paying off) carries much more utility than an equal-odds lottery payout of $100,000 to someone with an ordinary middle-class income and savings. We can scale those windfalls down to arbitrarily low odds of happening without breaking the logic. There are various other factors that could make buying insurance a bad idea in some particular case, of course, but none of them seem especially relevant.

The nonlinearity of utility in available shelter is even more pronounced than that of money; it drops of very sharply at 'enough'.

I haven't been thinking of the utility of a fallout shelter primarily in terms of shelter, but in terms of improved survival rates during the initial apocalypse. Having shelter thereafter is nice and should probably be factored into your utility calculations if you're considering becoming a survivalist, but I'm pretty sure the project's overall utility would still be dominated by your chances of being flash-incinerated/poisoned by fallout/crushed by falling debris/et cetera. And as the OP says, there are almost certainly more cost-effective ways of improving your expected lifespan given all factors, unless you are already quite rich and very conscientious.