History of martyrdom in Buddhism
The Burning monk of Saigon, Thích Quảng Đức is perhaps the most famous of monks in recent times who self immolated for a cause, however he is hardly the first, in fact he follows a very ancient precedent set since before the beginning of history in Buddhism. The Buddha in his life just preceding his Buddhahood offered himself to a hungry tiger in keeping with his Bodhisattva vow of placing others before the self.
Also see, Benn, James A. (2007), Burning for the Buddha: self-immolation in Chinese Buddhism, University of Hawaii Press, 9-10.
Taking the Bodhisattva precept of protecting others can mean sometimes, usually very senior monks, will set themselves alight, or feed themselves to insects or abandon their body in other ways for a worthy cause.
Often the miraculously unburned tongue or heart is enshrined as a holy relic as a mark of the Bodhisattva's faith.
Technically, this isn't suicide but heroic martyrdom of the non-violent kind.
Specific case of Tibet
As a monk, the Dalai Lama is bound by the pattimokha (monastic rules) to not praise the desirability of death. Any monk who praises death, commits a Pārājika (very grave) (literal translation: defeated one) offence, and entails expulsion from the Sangha.
The Dalai Lama is not any ordinary monk, he knows his word carries enormous weight. If he were to even hint that martyrdom would be appropriate, tens of thousands would self immolate, or destroy themselves without a second's hesitation.
Therefore he is perfectly correct on both humanitarian and monastic grounds to insist vehemently that suicide is not an option.
Last, but not least, it is also tactically wise, since the Chinese would wait for just such an opportunity where a nuanced but confusing utterance can be turned into a controversy. He has to be very careful as a leader of a people, in issuing fool proof statements that cannot be misinterpreted.
However, Buddhism is first and foremost about personal responsibility. As rational beings, Buddhists can weigh the odds and decide for themselves if martyrdom is worthy. Certainly there is room for violating the mundane order of things, when one operates on a rather high level of attainment.
Thus, they are not disobeying the Dalai Lama, as much as respecting their inner conscience and spiritual path.
Often times such acts of martyrdom arearise from pure Bodhisattva nature, however sometimes it is a copy-cat act done under peer pressure. Hopefully the Dalai Lama's objections will dissuade the latter kind.