So for example if your superiors, some official from some agency, or the President, asks you to torture suspects, or to monitor the private conversations of every citizen, or to keep so-called "National Security Letters" secret, and they say you have to do it "because it's the law", you can either hide behind authority or try and think for yourself.
It doesn't mean you have to break every law; when thinking for yourself you may arrive at the same conclusion as the legislator, that torturing suspects is indispensable to get the information you need, for example, and that, in your opinion, there is no better option.
But it does mean you lose the excuse of doing something morally objectionable just because someone told you to do it; from that moment on, you do it because you want to.
The reason you don't go around shooting people should be because you find killing human beings repellent, not because you fear getting caught.