As the sub-human filth that I am, I once didn't signal at all when going right on a roundabout, not the right signal as I turned or the left signal as I exited. Simply because I was in a foul mood and couldn't be bothered.
Turns out the bloke waiting to enter was a proper road rage nutter and he let loose a right volley as his eyes bulged out of his head.
Most amusing I think I might do it more often just to see the nutters react.
It's not actually etiquette, though, is it? Indicating is actually road safety and basic driving competence. If you don't indicate when turning, you are an unsafe and incompetent driver. What is more, you are almost certainly likely to be in breach of the law.
It depends though, doesn't it? Changing lane without indicating? Dangerous, less so if you always check it is safe first. Not indicating on a roundabout? Less so as all you're really doing is inconveniencing the person entering.
I would put the latter in the 'in breach of the law and mildly irritating but not dangerous' category. Like speeding.