Why is it desirable to construct capital budgeting rules so that higher-risk projects become less acceptable than lower-risk projects?

It’s based on the risk vs. return principle. You can use a Sharpe Ratio for this. It determines which investment is a better value for the amount returned. An example would be buying lottery tickets instead of expanding your business. Yes you might hit the lottery but you would be better off marketing your business because the risk is much lower. Sure it might not pay off 85 million dollars but the two million you make should be more beneficial from a risk reward point of view. Yes that is an extreme example but it gets to the point.