Sure, but you are also less likely to comply with similar requests outside the experiment.

No, you aren't. Unfortunately, I must say. All those years taking Social Psychology courses haven't even made me immune to fascism!

Seriously, though, reading some essential papers in the area is absolutely worthwhile. Replications of Milgram's initial experiments have investigated exactly this issue. Knowing that you're susceptible to manipulation by authority figures doesn't make you any less susceptible.

This actually could be studied empirically. I wonder if any work has been done on it.

(I'd like to believe it's true, but I fear human nature isn't quite so responsive.)