I while back I heard a Cargolux aircraft request headings around weather, first left which was denied, then right also denied. His next call was "PAN PAN PAN"
In Australia a Virgin 737 requested deviation around a CB which was denied IIRC he started to turn but was informed by ATC that he was going to have a breakdown in separation with another aircraft, he ended up going through the CB instead.
Tough choices, deviated without clearance and risk possible collision or being shot down. Continue into bad weather with results like this.
BTW Vietnam is conducting missile firing in the South China Sea at the moment and ATC instructions are to be strictly followed.