At the risk of disagreeing with your teacher, there's no rule that I know of against starting a sentence with 'Never'. It sounds much more natural and common than 'Don't ever'. In fact, 'Don't ever', to me, sounds like a very serious way of wording something. I would use it when I am extremely angry and warning someone. In many cases, we teach students (even native students) 'never' to do certain things in English. However, they are perfectly acceptable, just difficult to use correctly. Until the student knows how to use these structures properly, we tell them not to do it at all. I don't agree with that teaching method, though. Starting a sentence with 'never' is something I have never thought of as wrong.

It's fine to start a sentence with "never". Never say never.

You can use 'Never' in an imperative. Isn't there a James Bond film with a title like that?