An idea: If there is more than one immortal, given enough time the immortals would develop different utility functions. At some point conflicts among them would arise, and at certain level of conflict the best long-term solution would be to destroy the other immortal. (Any compromise solution would cost each of the immortals some utility. Multiply that by an infinite time. This is how much utility you can get by a successful surprise attack.)

For extra effect, claim that it already happened in the past, and Celestia is the survivor of the last immortals' war. And she decided not to let that happen again.

Then you can have a discussion about possibility or impossibility of a CEV...

EDIT: These ideas are in other comments already. Should have read them all before commenting.