Federal executive agencies have to be loyal to the government because they are the government. Working for the government and refusing to do what it wants is at best dereliction of work duties and at worst treason.
This doesn't apply to executive orders renaming things of course, since they're not illegal. But the point is that working for the government is not some sort of legal suicide pact.
If you do the thing then you're a criminal. If you don't do it, your employer will still do everything they can to make your life hell, such as illegally firing you for insubordination to an illegal order - you might get your backpay in court if you're lucky later, but you're never getting your job back.