This article presents a theoretical study of uncertainty functionals on general measurable spaces. These functionals are fundamental in experimental design and global sensitivity analysis, where they are used to quantify variability and information content in probabilistic models. As first articulated in DeGroot's seminal 1962 article, a natural requirement is that uncertainty should decrease on average when additional information is obtained. This requirement is equivalent to the probabilistic form of Jensen's inequality on the space of probability measures. Our main results show that concavity is necessary but not sufficient for Jensen's inequality to hold whenever the underlying measurable space is infinite. We also provide practicable sufficient conditions under which the desired property holds. These results contribute to a clearer mathematical foundation for uncertainty quantification. Several open questions are formulated.