I wouldn't know how it is in other armies, but I do know that I am legally obliged to refuse, or failing that, outright disobey any orders that are unlawful or would result in an unlawful act. Following orders is good and all, but that doesn't mean that you can start switching off your brain. If my sergeant, lieutenant, or even lieutenant colonel came up to me and asked my straight to shoot someone, I'd ask them for a reason first.