My copy of the road code (199x) is quite clear on indicating your exit on roundabouts.
Stop thinking about "going straight through" at a roundabout.
Think about it as entering the roundabout, and then exiting the roundabout. The roundabout is just like a really long road with lots of roads off to the left.
Then, it's not such a different situation as your own example:
Originally Posted by Roundabouterer
(The small size of some roundabouts makes it a bit harder; and these are the ones where it is even worse when some people indicate right when entering, if intending to take the second exit.)
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