First, I wasn’t the one who mentioned that he “let them keep their memories,” that was StolenMeijin. What Jin Woo learns at the end basically is that the “gods” fighting the “Monarchs“ have an artifact that allowed the world to be reset for a limited number of times. Each time they lost to the monarchs, they reset the world, but the drawback is that the monarchs also retain their memories alongside the gods so you can imagine why it was hard to win.
When Jin Woo gained the full power of the Shadow Monarch, he was told the world can only be reset one more time. He chose to do this after he fought and slayed all the other Monarchs, especially the most powerful one, the Dragon Monarch. Why? Because the world was half destroyed and while those that mattered to him survived, too many people died so he chose to reset it for the last time. However, now that he’s inherited the full power of the Shadow Monarch, he keeps the power and memories of all that’s to come. He then challenges the Monarchs once again, this time all on his own (title drop here) without anyone else having turned to hunters since the calamity of the gates never happened.
Now the part about some people regaining memories of the events. Although I’ve mentioned that the world was rewound, the events themselves have never been erased. Instead of reversing time, it’s more like a new game+ where you start at the beginning with all the best stuff and armed with knowledge so you know what to expect and change certain events like in RPGS. His power as a Monarch sort of affects this state of the world and those that have strong feelings for him have shown to have recovered their memories when he exposed himself to them. That’s why instead of letting them remember, he’s actually trying not to awaken the memory of others through his presence, although he did choose to let nature take its course for certain people such as the ones I mentioned before.