Did your psychologist describe the type of information that should not be known?
In any case, I'm not completely sure that accepting new information (never mind seeking it out) is always fully compatible with rationality-as-winning. Nick Bostrom for example has compiled a taxonomy of information hazards over on his site; any of them could potentially be severe enough to overcome the informational advantage of their underlying data. Of course, they do seem to be pretty rare, and I don't think a precautionary principle with regard to information is justified in the absence of fairly strong and specific reasoning.
Many thanks for the link to the Information Hazards paper. I didn't know it existed, and I'm sort of surprised that I hadn't seen it here on LW already.
He mentions intending to write a follow-up paper toward the end, but I located the Information Hazards Bostrom's website and I don't see a second one next to it. Any idea if it exists?
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.