Was I in the wrong here?

There are two exits off the roundabout at the end of this slip lane. One to go back onto the A1(M) (straight on), and one to join the A Roads connecting Hatfield, Welwyn etc (to the east of the roundabout as you approach). I wanted to turn right, to end up in the left hand lane (there are 2 lanes at the exit). So I approached in the left hand lane, indicated right, and stayed in the left hand lane all the way round. The guy in the right lane turned but then went into the left hand lane when he reached the exit. I was sure I did the right thing, but even as I pulled up behind him afterwards, he was shaking his head in the rear view mirror. Was I in the wrong?