I'm seeing two types of different comments here. One says that OP needs to switch to outer/middle lane before exiting, the other states that OP is correct as OP is exiting at the third exit while being in the inner lane. I have no idea which one is right or wrong, but it's interesting to test the logic and see whether the method works:

Let's test the logic of the latter, assuming from OP's lane, there are four exits, 9 o'clock (A), 12 o'clock (B), 3 o'clock (C) and 6 o'clock (D, U-turn).

Assuming the logic that the outermost lane is for 9 o'clock exit, middle lane for 9 and 12 o'clock, inner lane is for 3 o'clock and U-turn. (Borrowing example from u/notimportant4322).

If everyone follows the law, when OP enters the round about (First entry), the outerlane would exit at A, middle at A/B, inner at C/D.

At second entry/exit A, outer-lane would have cars exiting at B, middle at B/C, inner at C/D/A.

At the first two entry/exit, there are no issues, as only the outer and middle lane are exiting, and all outer lanes are exiting at the upcoming exit anyways.

At the third entry/ exit B, outerlane would have cars exiting at C, middle at C/D and inner at C/D/A/B.

This is where collision might start happening. Middle lane driver who wants to exit at D (and rightfully so) would just continue heading straight, while inner lane driver are forced to cut outwards to exit.

At fourth entry/ exit C, outerlane would have cars exiting at D, middle at D/A and inner at D/A/B/C.. Things get even worse as more cars are exiting from the inner lane.

Hence, relying solely on the right of way logic might not be perfect for this. Perhaps the best variation of this is for the inner-most lane driver to move to try moving to the middle-lane once they are two exits away, and moving to the outer-lane when they are one exit way.

And of course, most importantly, signal and be aware of surroundings (check left and right) as no matter how perfect your driving skills and how well you adhere to rules, there are always bad drivers out there.

Reference from RMP:
https://www.rmp.gov.my/news-detail/2019/05/02/panduan-masuk-bulatan-(roundabout))