Why are such statements as "no one can tell me what to believe (or what to do) " doesn't work as a response to moral criticism?

And why it isn't a very respectable or sophisticated response to differences in opinion?

Because Moral Criticism is a critique literary, judges the value of the literature based on its moral lessons or ethical. And this way to answer does not have anything to do with a moral way to answer.

This way to answer is kind rude, even if you have a different opinion everybody has the right to have their own, so you can not simply reject in a rude way even if you do not agree, be understanding and respectful with others opinions shows a mature person.