I would not immediately evacuate just because someone told me to. I would look at their warnings/recommendations, look at the situation, use my best judgement and decide for myself. In this case it might have been a mistake not to evacuate (but we don't know the details so we can't judge). But in other cases, I'm sure more harm has come DUE to evacuating. An uncontrolled fire near your property is a pretty good reason to evacuate, but again, we don't know the specific details of the situation.