I think there are many factors to this - it wouldn't be as simple as just giving it up.
Firstly, it would depend if the Lama asking me to stop the practice was the same one who gave it to me. If it is, then I would follow the instruction to stop, believing that he knows what is best for me at each stage of my practice. If it isn't however, it would be very difficult to give up - how can the instructions of one teacher be more important or take precedence over another? I think this is perhaps one of the outstanding reasons for not having so many teachers all at once when we are not yet experienced or matured enough to handle different teacher-student relationships.
Secondly, I think we must realise that such instructions are not uncommon. A teacher may give his student an instruction (not necessarily yidam-related or protector-related) for a period of time, and then change the instruction to another one later; or give the student a different instruction. This is not because the instruction is wrong or that the practice is bad, but that he is simple changing practices to suit us as we traverse the path.
It has become a big issue within the Dorje Shugden practice because of the politics that have necessarily become a part of this "instruction" from the Dalai Lama. If you were a student of the Dalai Lama, received the practice from the DL and then were told by the DL to stop the practice, there should theoretically not be any conflict. You received an instruction from the Dalai Lama (your guru) and then you received another instruction from the same Guru. So you follow accordingly.
What has complicated this more than anything is that people have not only taken the Dalai Lama's instructions to heart (rightly so, if it really is the case I have described above) but taken it upon themselves to police whether everyone else is following his "instruction" or not, whether these people are his students or not. This is when it is no longer about following a teacher's instruction. Surely, any real teacher would not want his students to go around mistreating other practitioners, denying them basic welfare, hurting them or burning their houses! So we have to think about whether we are really following the instruction purely, not following it all the way, or, in the case of these people, misinterpreting the instructions for our own gain and agendas.