It's also not always good advice. Sometimes you should just satisfice. Chess is often one of these times, as you have a clock. If you see something that wins a rook, and spend the rest of your time trying to win a queen, you're not going to win the game.
It's also not always good advice.
Of course it isn't. But I don't think that's a very good standard to be holding most forms of advice to. Very little advice is always good advice; nearly all sayings have exceptions. The fact is, however, that Lasker's (sort of Lasker's, anyway) quotation is useful most of the time, both in chess and out of chess (since unless you're playing a blitz game, you're likely to have plenty of time to think), and for a rationality quote, that suffices.
Another month, another rationality quotes thread. The rules are: