Higher probabilities "pull" the expected value toward them. Watch how E(X) differs from the simple average when probabilities are unequal.
Notice: When probabilities are equal, E(X) = Avg. When probabilities differ, E(X) is pulled toward the high-probability values.
When probabilities are equal, E(X) = simple average. When probabilities differ, E(X) is pulled toward high-probability outcomes. This is why it is called a weighted average!