So a rephrasing of your point that takes Nisan et al.'s objections into account would be: Risk-aversion is a valuable heuristic because usually uncertainty may lead to suboptimal decisions (take days off when it turns out you don't need to, or the other way around). The Allais paradox is a case where such risk aversion isn't justified, but some careless phrasing of the paradox (or of other situations in decision theory) the risk aversion may be justified.
The Allais paradox (both Eliezer version and the Wikipedia article) seems to not specify at all if the reward is instantaneous or delayed, so I wouldn't say the risk aversion isn't justified - if offered the paradox with no precision, I would say there is a chance for the reward to be instant, a chance for it to be delayed, so the risk aversion should be partially considered. It's a bit of nitpicking, but not that much. There is no mention of time/delay in either of the paradox nor the axiom, and that seems to be a weakness to me.
And even without time, inf...
Followup to : Is risk aversion really irrational?
After reading the decision theory FAQ and re-reading The Allais Paradox I realized I still don't accept the VNM axioms, especially the independence one, and I started thinking about what my true rejection could be. And then I realized I already somewhat explained it here, in my Is risk aversion really irrational? article, but it didn't make it obvious in the article how it relates to VNM - it wasn't obvious to me at that time.
Here is the core idea: information has value. Uncertainty therefore has a cost. And that cost is not linear to uncertainty.
Let's take a first example: A is being offered a trip to Ecuador, B is being offered a great new laptop and C is being offered a trip to Iceland. My own preference is: A > B > C. I love Ecuador - it's a fantastic country. But I prefer a laptop over a trip to Iceland, because I'm not fond of cold weather (well, actually Iceland is pretty cool too, but let's assume for the sake of the article that A > B > C is my preference).
But now, I'm offered D = (50% chance of A, 50% chance of B) or E = (50% chance of A, 50% chance of C). The VNM independence principle says I should prefer D > E. But doing so, it forgets the cost of information/uncertainty. By choosing E, I'm sure I'll be offered a trip - I don't know where, but I know I'll be offered a trip, not a laptop. By choosing D, I'm no idea on the nature of the present. I've much less information on my future - and that lack of information has a cost. If I know I'll be offered a trip, I can already ask for days off at work, I can go buy a backpack, I can start doing the paperwork to get my passport. And if I know I won't be offered a laptop, I may decide to buy one, maybe not as great as one I would have been offered, but I can still buy one. But if I chose D, I've much less information about my future, and I can't optimize it as much.
The same goes for the Allais paradox: having certitude of receiving a significant amount of money ($24 000) has a value, which is present in choice 1A, but not in all others (1B, 2A, 2B).
And I don't see why a "rational agent" should neglect the value of this information, as the VNM axioms imply. Any thought about that?