I'm not a lawyer, but yes, generally speaking, you are required to comply with a lawful order from a police officer, even if they do not give the order to everyone in the vicinity, and even if there is some dispute about whether a safety hazard exists.

Your recourse is not to disobey the order. It's to file a grievance or a lawsuit afterward.

(Key here is "lawful order." If the officer is giving you an unlawful order, such as ordering you to commit a crime, that's another story. But "leave this area, for your safety" is, at least on its face, a lawful order.)

But if you obey the order, how do you demonstrate harm (for evaluating damages) in a later suit?

On its face. In actuality, I have a hard time entertaining beneficial doubts.