The Captain must think about the safety of his aircraft, and if he (she) thinks that is best served by ignoring an order from ATC then so be it.*
Jonty, if that was the case then they probably wouldnt have acknowledged the GA but said something to the effect that they were ignoring the instruction and landing.
I suspect its more likely to be that the wind readout caused the crew to anticipate a "Clear Land" instruction and at the end of a sector during a period of high workload and the PF was expecting to hear 'clear land' so his brain heard 'clear land' but their mouth read-back the go around on autopilot (pun not intended but happily coincidental)
I know CRM is supposed to mitigate this but if PNF was distracted by one of any-number of tasks then he may have missed the call and if they've, for whatever reason, not challenged PF or ATC to confirm for crew co-ordination then you can see how it could happen.