"Give way - allow something or someone to be or go first."
This is one the Oxford English Dictionary meanings of the phrase and to me defines exactly what the ATC instruction "Give Way" is saying.
In my opinion Rule 37 4(b), whilst specifying action to be taken by pilots in case of danger of collision, allows the pilot of the aircraft required to give way under the rule discretion to apply common sense if no actual danger exists.
I don`t believe that discretion includes deciding whether or not to comply with an ATC instruction.