Yes, once you play the first lottery and find out that it has a finite value the second one will have higher EV, but until then the first one has higher EV (in an infinite way) and you should choose it.
I think a similar argument can apply to person-affecting views and the OP’s Dutch book argument:
Yes, starting with World 1, once you make trade 1 to get World 2 and find out that trade 2 to World 3 is available, trade 1 will have negative value, but until then trade 1 has positive value and you should choose it.
I think a similar argument can apply to person-affecting views and the OP’s Dutch book argument: