In the original Highlander Ramirez says this to Macleod:

You are safe only on holy 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 immortals who did not abide by this tradition / law (in the movies or in the TV series) intentionally?

This answer: https://scifi.stackexchange.com/a/14042/1148, shows that at least in the extended canon of the books Duncan was apparently tricked into violating it.