Robin, of course it's not obvious. It's only an obvious conclusion if the global utility function from the dust specks is an additive function of the individual utilities, and since we know that utility functions must be bounded to avoid Dutch books, we know that the global utility function cannot possibly be additive -- otherwise you could break the bound by choosing a large enough number of people (say, 3^^^3).

From a more metamathematical perspective, you can also question whether 3^^3 is a number at all. It's perfectly straightforward to construct a perfectly consistent mathematics that rejects the axiom of infinity. Besides the philosophical justification for ultrafinitism (ie, infinite sets don't really exist), these theories corresponds to various notions of bounded computation (such as logspace or polytime). This is a natural requirement, if we want to require moral judgements to be made quickly enough to be relevant to decision making -- and that rules out seriously computing with numbers like 3^^^3.