It is a matter of Rocco upholding his oath and keeping his honor. If his Don gave him an order to make a hit then he has to carry it out. While he may have been somewhat more motivated by the closeness between Neri and Michael, this would not have been a determinative factor for any loyal soldier.

On a much farther afield note, I would add this: Who says Rocco died? We could bring him back to life in GF IV by showing he had a bulletproof vest. Maybe he has been in the same army base where they kept Frank Pentangeli.