I can see where you would get upset..
Where is the documentation stating that he approved, or directed said offenses? If he is your manager, he is responsible for ensuring that policy is being upheld by his subordinates.
Do you have an open door policy where you work, or can you go to his manager?
It just seems that if he's asking you to do something that you know is against company policy, you should be able to refuse to do the task without repercussions. Perhaps you could remind him that what he is approving is against policy, and if he disagrees, have him put his direction in writing as a CYB, then forward that to his manager asking for clarification, that way if you get audited, your in the clear.