Often times it's not explained, they just do a blanket "it's magic" and refuse to elaborate, which is what I suspect they do here given that levels and stats haven't been mentioned yet.
Just mentioning an example where it does make sense there are a few stories I recall where guns and such...
Well this is really fucking annoying. I'm guessing the purpose of not remembering is to keep the harem hijinks going as he would likely have tried being loyal to Azu otherwise? Doesn't matter I still hate it.