Normally follow ATC instructions
It would be reasonable (considering what we know) to think that the crew was under a lot of stress. ATC was doing its best and it is my opinion that they avoided making the situation worse with continuing instructions, considering the crew was already ignoring them.
The evidence will likely conclude that the controller's turn instruction was the a far superior choice.
Crew ignoring aircraft generated warnings is a matter for the accident investigation.
Crew occasionally do ignore a heading like those that might take an aircraft into a thunderstorm, or hit high ground or another aircraft. The protocol seems to be a call like "unable, require right turn to avoid CB", except in China where it seems sometimes ATC thinks it is essential to take that risk.