That said, I'm not sure what use free-form speculating about such bizarre and underspecified scenarios really is, though I'll admit it's kind of fun.

It's kind of fun. Isn't that reason enough?

Looking at the original question - i.e. how to handle very large utilities with very small probability - I find that I have a mental safety net there. The safety net says that the situation is a lie. It does not matter how much utility is claimed, because anyone can state any arbitrarily large number, and a number has been chosen (in this case, by the Matrix Lord) in a specific attempt to overwhelm my utility function. The small probability is chosen (a) because I would not believe a larger probability and (b) so that I have no recourse when it fails to happen.

I am reluctant to fiddle with my mental safety nets because, well, they're safety nets - they're there for a reason. And in this case, the reason is that such a fantastically unlikely event is unlikely enough that it's not likely to happen ever, to anyone. Not even once in the whole history of the universe. If I (out of all the hundreds of billions of people in all of history) do ever run across such a situation, then it's so incredibly overwhelmingly more likely that I am being deceived that I'm far more likely to gain by immediately jumping to the conclusion of 'deceit' than by assuming that there's any chance of this being true.