One of the basic postulates in the mathematical formalism of quantum mechanics is that the probability of a measurement of an observable $A$ in the state $\psi \in \mathscr{H}$ to return a value in a Borel set $E \subset \mathbb{R}$ is given my: $$P_{\psi,A}(E) := \mu_{\psi}(E) \equiv \langle \psi, \chi_{E}(A) \psi\rangle \tag{1}\label{1}$$ where $\mu_{\psi}$ is the spectral measure associated to $\psi$ which, by definition, is given by the inner product $\langle \psi, \chi_{E}(A)\psi\rangle$ with $\chi_{E}(A)$ being the characteristic function $x \mapsto \chi_{E}(x)$ of the Borel set $E$.
If $f$ is a complex-valued measurable function on $\mathbb{R}$, we can consider the expectation: $$\mathbb{E}_{\mu_{\psi}}[f] := \int f(x)d\mu_{\psi}(x) \tag{2}\label{2}$$ whenever this integral is well-defined. In particular, by the Borel functional calculus, we have: $$\int x d\mu_{\psi}(x) = \langle \psi, A\psi \rangle. \tag{3}\label{3}$$
Relations (\ref{2}) and (\ref{3}) are responsible for the probabilistic interpretation of quantum mechanics. The expectation (\ref{2}) tells us that $\mu_{\psi}$ is to be considered as a probability distribution and then relation (\ref{3}) justifies saying that $\langle \psi, A\psi\rangle$ is the average value of $A$.
I understand the point, but something seems to be missing when one defines the average value of $A$ by means of a probability distribution which is in another space instead, the space of Borel measurable functions. I feel I am missing the connection between these two spaces.
So my question is: does the spectral measure (\ref{1}) induces some probability measure on the space of observables, say, as a pushforward measure or something like this? And if so, how can the expectation of an observable $A$ in this measure space be related with (\ref{2}) and (\ref{3}) so to interpret integration with respect to $\mu_{\psi}$ as the proper expectation value of $A$? Maybe an application of the abstract change of variables formula?
Note: I know that, in the $C^{*}$-algebra approach of quantum mechanics, observables are bounded linear operators $\mathcal{L}(\mathscr{H})$ and there is the topology induced by the operator norm on this space. Hence, if we want to define a probability measure on this space, it is quite natural to talk about Borel $\sigma$-algebras and Borel measures. However, in von Neumann's approach, observables are allowed to be unbounded, even though we still have the probabilistic interpretation. This is part of my question: what exactly is the space of observables and how to introduce a $\sigma$-algebra and a probability measure on it so that it becomes $\mathbb{E}_{\mu_{\psi}}$ when averaging $A$?