There are meaningful ways to compare two outcomes which both have infinite expected utility. For example, suppose X is your favorite infinite-expected-utility outcome. Then a 20% chance of X (and 80% chance of nothing) is better than a 10% chance of X. Something similar happens with tossing two coins instead of one, although it's more subtle.

Actually what you get is another divergent infinite series that grows faster. They both grow arbitrarily large, but the one with p=0.25 grows arbitrarily larger than the series with p=0.5, as you compute more terms. So there is no sense in which the second series is twice as big, although there is a sense in which it is infinitely larger. (I know your point is that they're both technically the same size, but I think this is worth noting.)