I've had Doncaster do this to me also.
Why is it that particular airport (or is it a particular controller) doesn't understand the difference between a request and an instruction?
If I'm receiving a FIS, and outside of controlled airspace it is my decision whether I change course. of-course, if I'm passed a request, and I can reasonably comply, I'll do so. But for a controller to give me an instruction under those circumstances is inappropriate, not to mention likely to land him in trouble sooner or later since he's effectively taking responsibility for my actions.
If RT is quiet, my mildly sarcastic response would be something like "G-CD is outside controlled airspace, but say again your request". I'll still do as I'm asked, but it makes a point that the controller needs making to him.
G