You are comparing apples to oranges here, because in one of the scenarios, scenario A, you are comparing two choices that you have, and opting for the one that increases your probability of winning from 0% to 25%. In scenario B, you haven't actually made a choice. I mention this because I think I know where you are going with this (Are plays that take me from large favorite to larger favorite worth more, less or the same as plays that take me from dead to large underdog). but Ive altered the form of your scenarios a bit, and this is why.
Scenario B represents a 33% increase in expected value, whereas scenario A represents an indeterminate increase. If we simplify a bit and say in scenario A your win % goes from 1% to 25% then this represents a 2400% increase in expected value! So clearly A is more valuable right, since it represents a larger proportional increase in your EV? Maybe. In the vaccuum of your scenarios, I would say A is adding more value. But the last dimension of this problem, and one that isn't given here, is how often you are going to be in a position like scenario A and how often you will be in scenario B.
That would be information you would need, because depending on the frequency of each scenario, it could wind up being that one or the other (probably B) comes up so much more often that even if it may be adding a smaller amount of value, its higher frequency means that it is the one you should be paying more attention to, because over time it will cost you more.
@xouman My question is... since I've just noticed this in my own play. Do you intuitively value the play that actually finishes a game that you are almost certainly going to win, much more than you value a play that preserves a slim chance to win in a game that you will almost certainly lose anyway... even though they are mathematically identical... aren't they?
The play that ends the game is a function of all the plays made up until that point. I read this post after I wrote the above, so it looks like I didn't answer your question with it. But to answer this directly, the answer is no. If I am playing storm, the play that wins the game is putting tendrils on the stack with enough storm for lethal. There is nothing interesting at all about the play that ends the game. The interesting plays, and the most valuable ones, are the ones that lead up to it.