"So, in order to be led to betting more on the low-probability choices, one needs a utiltity that changes even faster for small amounts and slower for large amounts. But I disagree that this is “implausible” — if i think that is the best strategy to use, I should adjust my utility, not change my strategy to match some externally-imposed utility."
Decision theory would be useless if you always made decisions on intuitive grounds, and then figured out exactly which utility and probability values have to be used in order for the expected utility considerations to endorse the decision you've intuitively picked. The whole point of the decision theory is to sometimes surprise you, to suggest decisions that don't coincide with what you would've picked based on intuition alone. When a decision theory presents you with a suggested decision that disagrees with your intuition, it places into conflict the assumptions behind the decision theory, the reasons for picking the parameters of the decision problem (probabilities, utilities, maybe causal graphs), and the reasons for your intuitive judgment of the resulting decision. It's not a given which of these gives. Maybe your intuition about the decision is strong enough to force you to revise the parameters of the decision problem, maybe your intuition behind the assignment of the parameters is strong enough to overrule your intuition about the decision. Maybe even both your intuition about the parameters and the decision both overrule the reasons for believing that this particular decision theory can adequately model the situation.