Yes, I like your "unlosing agents" approach a lot. It is more modest than some interpretations of utility, and largely for that reason, a big step in the right direction, in my view.

I disagree that Allais choosers will get Dutch Booked if they remain consistent, unless perhaps you mean "consistent" to build in some very strong set of other axioms of decision theory. They simply make more distinctions among gambles and sequences of gambles than traditional theory allows for. An Allais chooser can reasonably object, for example, that a sequence of choices and randomized events is different from a single choice followed by a single randomized event, even if decision theory treats them as "equivalent".