The employee does not have to do what the employer says. Employers aren't dictators.

There are laws which prohibit firing employees for certain things.

An employer can't tell an employee to wear a cross around their neck. They also can't prohibit someone from practicing their own religion of choice.

An employer can't fire a woman for getting pregnant.

Furthermore, some employees have more leverage than others. Skilled employees who are in demand will get away with violating company policy more than others. Famous pro athletes, who are the primary draw at pro sports events, have a ton of leverage which allows them to violate team policy and get away with it.