Because being a wizard or having a high intelligence score doesn't mean always making the correct, rational decision. "Intelligence" in D&D or any other game is a gameplay abstraction, not anything that exists in real life. I feel that between Vaarsuvius, Roy, Eugene, Redcloak and Tarquin, the comic has made it abundantly clear by now.
That, of course, is assuming that obeying D&D standards of optimization is the correct, rational decision, which we can't and shouldn't assume. OotS is a story, not a game.