The important thing to recognize about the host response to sepsis is that it is actually a generalization of mechanisms used in local infection response by the innate immune system. When an animal has a local infection, such as at a wound site, innate immune cells such as monocytes and macrophages recognize 'generic' bacterial features, such as lipopolysaccharide (LPS). When they recognize these features, they respond by engulfing the pathogen and releasing cytokines that result in local vasodilation and inflammation. In this context, these responses are close to ideal. Vasodilation helps to isolate the area and promotes the recruitment of more immune cells.
These sorts of small infections are very common for all animals (just about every creature cuts itself at least once), including humans, and the absence of this response would result in sepsis (not the immune response, but just sepsis itself) because the infection would not be contained. Control of such local infections is thus 'life-or-death' for all creatures—which is an extremely powerful selective pressure.
The other thing to consider here is when in nature are these local defences overwhelmed such that sepsis, and then septic shock, which is what you are asking about, occurs. The answer is that it does not happen very often. Transient bacteremia is relatively common (it even happens when you brush your teeth, see this paper for example), but overwhelming bacteremia, sepsis, is not very common in healthy individuals. It is generally a condition that affects weakened individuals and those who have already reproduced. We notice it far more now because it is a major cause of death for humans hospitalized for other conditions, as well as older people with pneumonia. Most of the primary causes of sepsis though—major wounds, pneumonia, weakened immune systems—would be death sentences in themselves in the absence of medicine, irrespective of the organism's response to the sepsis.
That is not to say it is completely invisible to selection, for example this paper, and others like it, demonstrate that the immune cells responsible for septic shock are regulated by hypoxia (a major feature of shock). However, it is reasonable to say that any fitness advantage conveyed by a reduction in the intensity of septic shock would be dwarfed by the fitness penalty paid if that reduction also reduced the efficiency of the response to local infections. For this reason, it is likely that septic shock is an evolutionary accident, a trait that exists in part because it is irrevocably linked to a set of highly advantageous traits (those involved in local infection response), rather than a trait that has been extensively selected on by evolution.
Note that this answer is my opinion only. To the best of my knowledge, there is no definitive answer to this question yet, and future research may prove me wrong.