There are many sets of non-transitive dice where the average is not the same though (I should have used one of those examples). Here's one:
A: 4, 4, 4, 4, 0, 0 (avg: 8/3)
B: 3, 3, 3, 3, 3, 3 (avg: 9/3)
C: 6, 6, 2, 2, 2, 2 (avg: 10/3)
D: 5, 5, 5, 1, 1, 1 (avg: 9/3)
There's no reason that the average values need to be the same to have non-transitive dice. To modify the original three to have the same winning properties, but radically different averages, just imagine doing this:
Die A has sides 2, 2, 4, 4, 99, 99.
Die B has sides 1, 1, 6, 6, 8, 8.
Die C has sides 3, 3, 5, 5, 7, 7.
The expected value of an individual die roll doesn't play into it at all.