It is a rather creative lateral thinking solution to congested routes and queue avoidance, and is certainly not dangerous or illegal.
They wouldn't go all they way around the roundabout if it was quicker to stay in the left lane. So it must be the quicker option. At least they are not turning left immediately from right lane to right lane (at least that is what I have assumed from your description).
I will admit that I have done exactly the same manoeuvre in the past on a different roundabout; despite being traffic light controlled it is quicker sometimes to go through the 4 sets of traffic lights than it is to queue to go left.
So what is my motivation? Well it is not actually about being pushy and moving faster, but is more about safety - the road from which I am coming up is the slip road from M5 J4 N up to the roundabout that is the junction, and the left turn is onto the A491 N. As should be obvious from the above description, the roundabout is traffic light controlled, and the maximum flow allowed by the lights is much lower than demand at certain peak times. So we get queues, back down the slip road until there is no more slip road, and then depending on who was there at the time either along the hard shoulder or down L1 of the motorway. Unfortunately this junction is effectively hidden around a relatively sharp left turn, so the queuing traffic is obscured from view, and as a queueing driver I feel very exposed. Hence this method of turning left.
The queues existed before the lights were installed, and the lights have improved things somewhat, but as usual this was the cheap and only partially effective solution - what is amazing is that the better solution would also have very easy and fairly cheap, but as usual nobody asked us drivers. Most people (~75%) want to turn left, so why not make it easy for us by adding a dedicated lane for those turning left that bypasses the lights?
Map of junction