I think this is a question of ongoing collateral effects (not sure if "externalities" is the right word to use here). The examples that speak of money are additionally complicated by the fact that the purchasing power of money does not scale linearly with the amount of money you have.

Consider the following two scenarios:

A). Inflict -1e-3 utility on 1e9 individuals with negligible consequences over time, or B). Inflict a -1e7 utility on a single individual, with further -1e7 consequences in the future.

vs.

C). Inflict a -1e-3 utility on 1e9 individuals leading to an additional -1e9 utility over time, or B). Inflict a one-time -1e7 utility on a single individual, with no additional consequences.

Which one would you pick, A or B, and C or D ? Of course, we can play with the numbers to make A and C more or less attractive.

I think the problem with Eliezer's "dust speck" scenario is that his disutility of option A -- i.e., the dust specs -- is basically epsilon, and since it has no additional costs, you might as well pick A. The alternative is a rather solid chunk of disutility -- the torture -- that will further add up even after the initial torture is over (due to ongoing physical and mental health problems).

The "grand theft penny" scenario can be seen as AB or CD, depending on how you think about money; and the right answer in either case might change depending on how much you think a penny is actually worth.