As far as legislation on ICAO level is concerned, I would like to take an educated guess. Please forgive me for not taking the effort to look into CAP 413. I know that the rules in the UK might be different but since I am not British I know only little about those differences, and hence I will presume that UK rules in this case comply with ICAO rules.
First of all, there seem to be no ICAO SARPS with respect to your question. ICAO Annex 10 Volume II no 5.2.1.9.2.2, which has PANS status only, however, says:
"An aircraft station should acknowledge receipt of important air traffic control messages or parts thereof by reading them back and terminating the readback by its radio call sign."
This readback is, by definition of ICAO Annex 10 Volume II Chapter 1,
"A procedure whereby the receiving station repeats a received message or an appropriate part thereof back to the transmitting station so as to obtain confirmation of correct reception."
Since you have, according to the definition above, to "repeat" the message the correct reply to the type of heading instruction in question would be "call sign turn left/right xxx degrees". StillDark&Hungry already mentioned there was no harm in giving the new heading. From a bean counter's point of view I would like to add that there is no harm in supplementing the readback with the new heading but giving the new heading as the only reply would not fulfill the norms quoted above.