Right, if it's an order that a person knows will have lasting damage if he doesn't disobey (arresting civilians (not combatants), raping, killing, something to that affect). No soldier, sailor, marine, or airman would ever get in trouble for following an order to arrest another servicemember because it is very likely that those who decide that such an order was unlawful are going to be much higher up and perfectly capable of ensuring the person arrested is not punished.
Last I checked, unless they are on military property, servicemembers cannot arrest or otherwise do anything official to civilians. But those who burned the Qurans were not civilians. They were our servicemembers. There is no civil rights violation in arresting them. The worst that it could be is a wrongful arrest. And the order that the Marine mentioned that he wouldn't follow was that order because he believes that it would be unlawful to do so. Well I can believe that it is unlawful for the President to order me to hold his coat if he happened to visit whereever I may be stationed, but that doesn't make me right. Someone else is likely to make that decision, not me.
I'm not even commenting on whether or not arresting a servicemember for burning a Quran is lawful or not because frankly I wouldn't know. I could easily see though how it could either. I do know quite a bit about being able to refuse unlawful orders though, after all, my job in the Navy demanded that I be able to protect people and equipment from harm that might occur if I followed an order that was going to harm the reactor.