It sounds like a question of communications rather than legality.
If in doubt ask ! From the example you have given you had your approach clearence superceeded by an instruction to take up an assigned heading followed by a brief explanation.
Sounds to me like the controller could have communicated the instruction a little better and failing that you should have sought clarification if any doubt existed.
In my view you are both to blame. Mind you I wasn't there and I wouldn't be the person to cast the first stone in this greenhouse.