I read up on this recently, and my understanding is that the solider is supposed to presume the order is legal and carry it out(otherwise, a CO should not have given it in the first place). However, they can refuse, but will face consequences in that they better have a buttload of proof.

In effect, they will get in trouble for disobeying an order, but if it is proven that the order was demonstrably illegal to begin with, then they will probably be in the clear.