I actually got all 3 achievements in one play in Solo ("Died Trying", "The Loyalists" and "A Hero Spared").
First, choose to protect Leon and die against your team-mates (run up to them and let them melee you to death as its quick). You'll get the "Died Trying" achievement.
Then it reloads to the cutscene with Leon again.
Once again, choose to protect him and this time kill your opposing team-mates (shouldn't be too difficult on Casual or Normal). This will net you the "A Hero Spared" achievement.
Now as soon as it pops up before the game can autosave, pause the game and choose "Exit Game".
The game autosaved at the start of the Leon scene. So this time choose to execute him. When you've killed the opposing team-mates and Leon (he can be quite tough), you'll get "The Loyalists" achievement.
And there you go, all 3 'ending' achievements in one playthrough :-)