Soon enough, you get your commands. You witness a conversation between some locals, one of whom is pointed out to you by your group's leader as undercover Defias kingpin Vanessa VanCleef, just in case you didn't already know that. This becomes relevant when said kingpin turns to your group and proclaims, "Rise up, Brotherhood! The dawning day is upon us!" On cue, your group's leader snatches a torch from a nearby building, then uses it to set fire to said buildings. The rest of your group's members follow suit.
One part of you tells you to follow the members of the group and see this through to the end. It's imperative that you follow it. Another part of you says that this is just flat-out wrong, and that this is your last chance to avoid being involved in this arsonous mess. It's vital that you follow your conscience in this case. But the first part of you is reminding you of all the reasons you might have had to go along with the Defias's plans, all the good they might have been able to do. It can't hurt to do this last step...can it? It might even help. It's crucial that you follow them.