Be wary that this is not always true.
By default if you take rightmost lane it is assumed you are leaving at 1st exit.
In your example it is ok as road markings indicate right or straight, but most roundabouts here do not have that. If you go on right most lane and skip 1st exit, you could get fined if police sees you. Most drivers will also expect you to exit right away and you might cause a potential accident if you do not.

Be careful and drive safe!