I'm having a really hard time trying to figure out what you are trying to say since I think you've basically answered your question. But if I understood your question correctly, it basically boils down to this?
why would stock A, which deviates more than stock B (both having the same expected return) be priced in such a way as to generate higher returns?
The one with more volatility is more expensive because buyer has to compensate the bearer's risk by paying a risk premium (which you mentioned). More explanation later.
In finance, the latter is a more risky investment and thus current finance theory suggests that the market would price it at a lower price point than the former, being Risk free.
....
why would the ticket with a certain payoff be priced more expensively than that of an uncertain one if they both have the same expected return?
Well because it doesn't and it's not true. CAPM is a measure of return not a measure of risk and the formula does not take volatility into factor.
Even though their expected return are the same, their actual return will/should be different. ie 1$ coin toss gets you 10$ in the end but 2$ could give you 20$ or nothing. Since there is a chance to to earn more than the risk free alternative, some people are willing to basically gamble for a higher return and buyers often have to pay a premium for the risk the owner has taken.
To illustrate, look at
bond yields &
bond rates. As the maturity increases, yields changes more volatile because of more uncertainty even though the systematic risk is the same.
This is all to suggest that risk in finance should be measured in a different way, what do you guys think?
CAPM is one of the more simpler models for simple estimates. Different asset classes have different and more complex models already exists and are used.