Oh, so that's where the confusion is coming from; the probabilities and utilities in my formulation are conditional, I just chose the notation poorly. Since X is a function of type number=>evidence-set, P(X(n)) means the probability of something (which I never assigned a variable name) given X(n), and U(X(n)) is the utility of that same thing given X. Giving that something a name, as in your notation, these would be P(E|X) and U(E|X).

Being unable to believe in sufficiently large amounts of utility regardless of any evidence would be very bad; we need to be careful not to phrase our anti-mugging defenses in ways that would do that. This is a problem with globally bounded utility functions, for example. I'm pretty sure that requiring all parameterized statements to produce expected utility that does not diverge to infinity as the parameter increases, does not cause any such problems.