And there is, indeed, a big difference between a general objective of kneeling the ball if it is clearly in the end zone, versus an explicit direction for that specific play: "Hey - don't return this."
If the returner has discretion to decide if it's worth returning, he didn't disobey anything. I think most of the time, returners do have discretion. Ed McCafferey said on Sirius NFL this morning that he didn't think Montgomery had a direct instruction to keep it in the end zone (and if he had, he should be released).