But people do change lanes on a roundabout. If you're turning right for example (I'm uk btw), you hug the roundabout until the exit before you wish to take, at which point you pull over to the outside lane of the roundabout, signalling your intention to exit.
I think part of the problem is that in the UK we've hand roundabouts for donkeys years - every driver has been taught about them and how to drive around them, and we have a very comprehensive test which is really difficult to pass.
In the US/other parts of the world, roundabouts are a relatively recent introduction, and so drivers who already have a license just have to figure it out, when it's not necessarily intuitive.
Signalling helps those waiting to get on the roundabout to know whether they can go and really helps smooth the flow of traffic.