No, it really just doesn't have to be a statement that someone else provides at all. From the perspective of a pure Bayesian agent, Bob telling you "I'm a Matrix Lord" is merely evidence that works to update (not necessily in a positive direction) the probability of the pre-existing hypothesis "Bob is a Matrix Lord".
And Bob telling you "If you built a temple to worship this rock, 3^^^3 lives will find happiness" is merely Bayesian evidence to update the probability of the prexisting hypothesis "If I built a temple to worship this rock, 3^^^3 lives will find happiness" -- a hypothesis that a mind can construct all by itself, it doesn't need another mind to construct it for itself.
The problem is the probability you assign on the hypothesis, not that someone else provided you the hypothesis. Such explicit statements made by others are barely significant at all. As evidence they're probably near worthless. If I wanted to find potential Matrix Lords, I'd probably have better luck focusing on the people who fart the least or have had the fewest cases of diarrhea, rather than the people who say "I'm a Matrix Lord." :-)
There are two separate reasons to reject Pascal's mugger's demands. The first one is if you have a system of priors or a method of updating that precluded you from going along with the deal. The second reason is that if it becomes known that you accept Pascal's mugger situations, people are going to seek you out and take advantage of you.
I think it's useful to keep the two reasons very separate. If Pascal's mugger was a force of nature - a new theory of physics, maybe - then the case for keeping to expected utility maximisation may be quite strong. But when there are opponents, everything gets much more complicated - which is why game theory has thousands of published research papers, while expected utility maximisation is taught in passing in other subjects.
But does this really affect the argument? It means that someone approaching you with a Pascal's mugging today is much less likely to be honest (and much more likely to have simply read about it on Less Wrong). But that's a relatively small shift in probability, in an area where the number are already so huge/tiny.
Nevertheless, it seems that "reject Pascal's muggings (and other easily exploitable gambles)" may be a reasonable position to take, even if you agreed with the expected utility calculation. First, of course, you would gain that you reject all the human attempts to exploit you. But there's another dynamic: the "Lords of the Matrix" are players too. They propose certain deals to you for certain reasons, and fail to propose them to you for other reasons. We can model three kinds of lords:
Precommitting to rejecting the mugging burns you only with the foolish lords. The sadistic lords won't offer an acceptable deal anyway, and the testing lords will offer you a better deal if you've made such a precommitment. So the gain is the loss with (some of) the foolish lords versus a gain with the testing lords. Depending on your probability distribution over the lord types, this can be a reasonable thing to do, even if you would accept the impersonal version of the mugging.