Summary: the problem with Pascal's Mugging arguments is that, intuitively, some probabilities are just too small to care about. There might be a principled reason for ignoring some probabilities, namely that they violate an implicit assumption behind expected utility theory. This suggests a possible approach for formally defining a "probability small enough to ignore", though there's still a bit of arbitrariness in it.
In the page cited a proof outline is given for the finite case, but the theorem itself has no such restriction, whether "in the form given" or, well, the theorem itself.
What are you referring to as the generalised theorem? Something other than the one that VNM proved? That certainly does not require or assume bounded utility.
If you're referring to the issue in the paper that entirelyuseless cited, Lumifer correctly pointed out that it is outside the setting of VNM (and someone downvoted him for it).
The paper does raise a real issue, though, for the setting it discusses. Bounding the utility is one of several possibilities that it briefly mentions to salvage the concept.
The paper is also useful in clarifying the real problem of Pascal's Mugger. It is not that you will give all your money away to strangers promising 3^^^3 utility. It is that the calculation of utility in that setting is dominated by extremes of remote possibility of vast positive and negative utility, and nowhere converges.
Physicists ran into something of the sort in quantum mechanics, but I don't know if the similarity is any more than superficial, or if the methods they worked out to deal with it have any analogue here.
Try this:
Theorem: Using the notation from here, except we will allow lotteries to have infinitely many outcomes as long as the probabilities sum to 1.
If an ordering satisfies the four axioms of completeness, transitivity, continuity, and independence, and the following additional axiom:
Axiom (5): Let L = Sum(i=0...infinity, p_i M_i) with Sum(i=0...infinity, p_i)=1 and N >= Sum(i=0...n, p_i M_i)/Sum(i=0...n, p_i) then N >= L. And similarly with the arrows reversed.
An agent satisfying axioms (1)-... (read more)