Along the same lines, it's not good for our self-esteem when we adopt and adhere to beliefs and values because they are strongly held by another person or group that we respect. We ought to live according to values that we have wrought for ourselves, not values that we impose on ourselves because it's the 'right' thing or because we've been told this value or practice is important.
But there are certain issues, to do with faith, where these principles can become problematic. If you're deeply religious, it doesn't matter what psychologists say, if God, as you conceive of God, tells you that you should do something, then that takes precedence.
I think the solution to this apparent conflict is to not be dogmatic and legalistic about anything - psychology, religion or anything else.
If you are too intense and inflexible about absolutely never making should statements to yourself, you've missed the point. Ironically, you're actually slavishly following one big should statement: don't follow should statements.
I think the opposite extreme - blind obedience - always doing what you think you should do, is unsatisfactory as well. That won't lead to fulfilment and personal growth. As a believer, I question the value of blind obedience and legalistic righteousness.
So, both extremes - never following should statements, and always following should statements, are unhealthy. As a believer, there are imperatives that apply to your life, and that might make you think that that's always wrong, but it's not. There is a place for should statements. There are bad things that you might be tempted to do, and there's nothing wrong with adhering to the 'should statement' - I should not do that. Likewise, there are good things about which you feel, I should do that, and there's nothing wrong with acting on that.
I suppose the important factor is why you are, or are not, doing these things. Is it just because that's what you've been told you should or should not do, or is it a reflection of your values? It's generally not good if it's just what you've been told, and there's some threat of punishment or reward involved. There's a place for that - like for example with kids. For their own good you need them to do and not do certain things without having to fully understand the reasons.
A more mature position is where you act according to your values, and also there's some discretion - you don't feel like you absolutely always have to do what you think you 'should' do. I used to be like that about sharing my faith. I thought I had to share my faith - talk to people about God - in literally every situation that I found myself in, whether it was practical or considerate and whether people wanted to hear it or not. The more inappropriate and humiliating the better, because that was a better demonstration of faith. But that wasn't sustainable and I no longer think that's what God wants.