[Chinjut]

There's nothing wrong with conditional expectation. E[X] = E[E[X | A]], where E[X | A] is a function of the random variable A. See https://en.wikipedia.org/wiki/Conditional_expectation.

When E[X], E[A], and E[X - A] are all well-defined, it is indeed the case that if E[X | A = a] > a for every particular value a, then E[X] > E[A].

What goes awry in this case is that E[X - A] is not well-defined (where X is the value in the unselected envelope and A is the value in the selected envelope). It is given by a conditionally convergent series, as noted.