Is it not going against the Umpire's decision?

When the umpire gives a batsman out and, if the batsman thinks that he is not out and if he protests, the ICC will take action against him. In the first semi-final of the ICC world cup 2003, Adam Gilchrist of Australia was given not out against the bowling of Aravinda Desilva. But, Gilchrist walked out, because he thought that he was out. Similarly, in today's match, Sachin was given not out, but Sachin walked out, because he thought that he was out. Now, in both these cases, are these batsman, gone against the umpires decision? Should they not be questioned by the ICC? Otherwise, the umpire should be questioned for not giving them