Once outside the ATZ if you do not wish to comply with the restriction you legally do not have to (Class G etc). However I suspect the controller and the SOP's have a valid safety reason for restricting you. If you do not wish to comply then inform the controller of your intentions so at the least he may inform the other traffic what you are doing and if not already, what the other traffic is doing that may affect you.
Its a two way thing this aviation stuff.
