Legally the officer may be correct, especially if in that position you should be indicating right. On the other hand, you have to play each roundabout by ear, and I admit there are a couple of places where I wouldn't dare take my hands off of the brake levers, and have to rely on road placement to hopefully make my intent clear.
Police vehicles are normally pretty good, I've had them not overtake me in positions where pretty much every other vehicle would have done, so they do tend to take more care around pedal cycles than many other road users, who wouldn't be so patient. There are however idiots and numbskulls in every category of vehicle driver, and even on a roundabout, where you and I know cyclists are particularly exposed, there are some who think their importance and need to be somewhere is greater than your need to survive.