[jki275]

There's a bit of nuance to this.

An order is presumed to be lawful under military law. The burden of proving it unlawful rests on the person receiving the order. The default is to execute the orders given.

In the absence of some direct reason that it would be unlawful, a military person must carry out the order they are given.

Now of course, as you say, it is the duty of the one ordered to do something that is unlawful to refuse to carry out that order.