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In the case of the rocket, we seem to be forgetting that the rocket turning in a circle via thrust from it's own engine is going to be accelerating spent fuel outwards, resulting in a large increase in kinetic energy of the spent fuel, and therefore work is being done.
If the rocket were captured by a frictionless circular track that was extremely massive (or otherwise virtually imobile), then the rocket would follow the circular track with no consumption of energy.
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