Great Post. After an afternoon's thought I have solved it!

Consider two beings: one is an immortal, infinitely wealthy, perfectly rational being.

The other is a short lifed being, with limited resource acquisition capacity, that requires a constant input stream of resources to stay alive.

For this being running out of money causes death, which is assigned an infinite negative utility.

For being 1 it makes rational sense to hand over its wallet every day to the mugger.

Not so for being 2.

The bad explanation thing is great but not so relevant since the conundrum is about decision making with imperfect information.