 Expected utility representation on a finite measurable space

Set $U(x)=U_0({\delta }_x)$. On a finite measurable space, points in the same atom of a sigma-algebra give the same Dirac measure, so $U$ is a measurable function and constant on atoms. Every probability measure is a finite mixture of representative Dirac measures with its atom masses as weights. Affineness then proves the expected-utility representation, even when the sigma-algebra is smaller than the power set.