I’m trying to think of a situation that you would want to have the turn signal on while in reverse. What kind of maneuver are you performing that requires this?
I think you’ll find this is an American thing (not signalling etc while parallel parking/ parking in general) I learned to drive in the US and have lived in Australia and Europe. US drivers are by far the least educated wrt proper driving etiquette.
Your turn signal indicates that you’ve “claimed” a parking spot so to speak, and is used also while reversing into a parallel parking spot particularly if you are coming to a stop in busy traffic so people don’t come right up behind you and keep you from reversing in.
It can also be used in the same situation for example in a shopping mall, by indicating even if someone hasn’t pulled out of the particular spot — you can “reserve” their spot.