Saying that no Wehrmacht soldier ever refused to kill civilians or PoWs is wrong, there are documented instances of this happening. It's just that this did not happen often enough to make a difference.
What happened to those who refused to participate? There is this study on some documented instances. In multiple cases, some punishment indeed was inflicted on refusers, but none were actually executed - although one man was incarcerated in Buchenwald concentration camp, which can probably be regarded as a de facto death sentence. Mostly though the case ended in demotion or transfer to another unit.
Why these refusals did not happen more often, then? If there were so little of these cases, they probably were not well-known at the time. It also could be that these officially documented cases were only a small fraction amongst many other, more known to Wermacht soldiers cases - during WW2, ~50000 death sentences for insubordination were carried out in German army. If a soldier thinks that he might be executed for not following the (criminal) order, it makes it not a "taking some kid's life for nothing" situation, but "giving my life for that kid's" - not an easy choice for most humans.
"Those Who Said "No!": Germans Who Refused to Execute Civilians during World War II", David H. Kitterman // German Studies Review, Vol. 11, No. 2 (May, 1988), pp. 241-254 - The Johns Hopkins University Press