To the latter part of top post, for a billionaire utility value and expected value are equal as if he gains or loses a few million it doesn't matter. For smaller player they can be completely different, yes a few thousand can be a good income gain, but getting caught can mean they get completely ruined.

So if expected value of tax cheating in vacuum is - lets imagine - 20% of the amount of taxes cheated, billionaire should cheat on taxes in every situation, as they simply gain 20% on average. Smaller player shouldn't, as even though their expected value is the same, their utility value can be completely different as they might take a risk of ruining their business and losing future income and hugely lowering their quality of life.

edit: and also for small amounts the way down is much harsher on the utility value, so being a favorite to gain 10k might not be worth it, if the possible -15k means your lifestyle suffers.