In the original HighlanderHighlander Ramirez says this to MacleodMacLeod:
You are safe only on holy groundHoly Ground. None of us will violate that law. It's tradition.
Even Kurgan obeyed it, despite his lust to have the prize:
Holy ground, Highlander! Remember what Ramirez taught you.
Were there immortalsImmortals who did not abide by this tradition / lawlaw (in the movies or in the TV series) intentionally?
This answer, shows that at least in the extended canon of the books Duncan was apparently tricked into violating it.