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Stuart_Armstrong comments on Naturalism versus unbounded (or unmaximisable) utility options - Less Wrong Discussion
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If you don't like comparing infinite expected outcomes (ie if you don't think that (utility) St Petersburg + $1 is better than simply St Petersburg), then just focus on the third problem, which Wei has oddly rejected.
I've often stated my worry that Omega can be used to express problems that have no real-world counterpart, thus distracting our attention away from problems that actually need to be solved. As I stated at the top of this thread, it seems to me that your third problem is such a problem.