A distribution is nice but often you have to commit to a choice. In such cases you generally want to minimize your expected loss (or maximize the gain) and if the loss function is lopsided, the forecast implied by the choice can be very biased indeed.
Even with a very skewed loss function you want to have an accurate estimate of your opposition, which will be an underestimate about half of the time, and then take excessive precautions. Your loss function does not influence your beliefs, only your actions.
Another month, another rationality quotes thread. The rules are: