General Discussion

In context, the ad telling "the troops" (and the whole world, including Trump) that they don't have to follow "illegal orders" is a backhanded accusation. I assume everyone realizes that. It strongly implies that Trump has or is likely to issue illegal orders.

Pro: Standing up to Trump. Drawing a line in the sand.
Con: He'll make hay out of it in predictable ways as he is now.

Giving this "reminder" to the troops about illegal orders is also, intentionally or not, a minor condescending lecture and threat to the troops. "You may not know this, but you don't have to follow illegal orders." (Translation: "You might be fairly ignorant of your basic duty, so I feel it is necessary to remind you. Also, we're watching you in case you do something we consider illegal. You'll have no protection from prosecution." )

Pro: Some few military folks may not be fully aware of their responsibilities, and this reminds them. Not a very big pro.
Con: Could alienate military votes and support

To me, it's not proving to be very effective so far. Trump et al have, as usual, gone off the rails, but they've gotten folks used to that. It gets them eyeballs for their messages (earned media). They have the "bully" pulpit. I'm a big fan of Kelly and Slotkin, so I hope it plays out well.