This is not a regulatory issue, but a contract issue. Somewhere your legal agreement should state that transactions are subject to review and approval and that the customers agrees not to perform any transactions that violate locate, state or federal law including OFAC.
To quote Andy Zavonia. Your contract follows the golden rule. "He who has the gold makes the rules."
Since there is no law/regulation that requires you to perform a transaction for a customer, you won't find one that says you are not required to perform one.
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