This was the direction given to first century Christians
1 Corinthians 7:17-24 (NWT)
"Nevertheless, just as (Lord) has given each one a portion, let each one so walk as God has called him. And so I give this directive in all the congregations. Was any man already circumcised when he was called? Let him not undo his circumcision. Has any man been called while uncircumcised? Let him not get circumcised. Circumcision means nothing, and uncircumcision means nothing; what means something is the observing of God’s commandments. In whatever state each one was called, let him remain in it. Were you called when a slave? Do not let it concern you; but if you can become free, then seize the opportunity. For anyone who was called in the Lord when a slave is the Lord’s freedman; likewise anyone who was called when a freeman is a slave of Christ. You were bought with a price; stop becoming slaves of men. In whatever state each one was called, brothers, let him remain in it before God."
Cornelius was called while he was an active centurion, and was not asked to resign or leave this position. Consequently he might well have continued working at the military.