Yes, you have to do it even if you're going straight. It's a silly rule, just causes more confusion tbh. But make sure you do this in your test.
If you're on a double lane (like i drew ^) and you're on a Blue lane, DO NOT INDICATE LEFT WHEN GOING STRAIGHT. But if you're on the RED LANE, REMEMBER TO INDICATE LEFT WHEN GOING STRAIGHT.
If you're on a single lane and going straight through the roundabout, then you still need to indicate left when exiting the roundabout.
If I remember correctly, they take 2 points off if you fail to do this correctly or don't do it at all.
lol @ the post(s) above.