I do mean expected value, but by saying "gain" I make sure we're not talking about expected time before a share or some other value.

Again, I didn't make calculations, I'm just using intuition (which can be tricky), but I'm pretty sure that expected gain decreases if you mine all by yourself and you're not powerful enough to have a good chance of finding a block before the next increase in block difficulty. At current difficulty, my CPU would take about half a year to have a 50% of finding a block, but before that difficulty will have increased, so my chance of finding a block in half a year is actually lower.