Cops are paid to do a lot more than just follow orders. We also expect them to have good judgment. They do not have 'orders' to deal with many situations they encounter on a daily basis so we rely on their ability to assess a situation and determine the right course of action.

This same thing applies here. Assess the situation, determine that some mayors and governors have overstepped their authority, which they clearly have, and determine the right course or action, which is to not enforce illegal orders.