That's how I always assumed it to be. Their creator is their literal God. Both literally and in their minds. They'd obey it above anyone.

The Guild Master is the Leader of the Gods. His commands are followed by the other Gods (in a way, but from their viewpoint it's probably what it was like to them back in Ygg). So for Aura she'd listen to Ainz over Pero but BukaBuka over Ainz without question.

So since there personal God isn't around, Ainz is God. Even if other members came, he'd still be God.

So for them to be told to disobey their Creator God's guiding hand, by the God of Gods, it'd just short circut them.

I can see them killing themselves or seeking death as you said.

I could see them basically having a mental break so bad they'd never recover and be a vegetable that barely functions and just sits in a corner muttering and crying.

I could even see them "snapping" and basically just being in a coma. Maybe not like a coma as we know it but just forever stuck unmoving with no mental presence or physical reaction.

Personally I imagine that's why Ainz has taken so much time to memorize every single tiny my new detail about all of their programming and personalities and stuff.

He has to walk a very thin line with all of them to make sure that he doesn't cross over into territory that the other players gave their creations so it doesn't cause a conflict of interest that just self implodes.

Especially after he saw how fucking with just a single line of Albedos programming got him into such a predicament with her.

Assuming he could even alter the code now that they're in the new world which is entirely unlikely I would imagine but I'm not sure if that's ever been specifically set out right or if the possibility still exists with the staff.