Not all paladins are the same.

There is no action that specifically is "wrong" because of this situation.

Helping the woman (regardless of her wishes) by arresting the man is a Good (as well as Lawful) action. Accepting her ability to defend herself (thus recognizing her wishes) is also Good, though if you simply take her refusal as an excuse not to help, it is more Neutral. Refusing to get involved is Neutral, and a paladin is not penalized for committing Neutral actions.