I've given some preliminary, entirely unsatisfactory thought to this, as Memory also plays a significant role in Germanic myth. Odin's teacher is Mimir, whose name means "Memory," and He gave up an eye to drink from Mimir's Well. The world-tree is sometimes called "Mimir's Tree," and in the Prose Edda, it is said that of His two ravens, Odin fears the loss of Munin ("Memory," very roughly - more likely, a far more complex part of someone's soul-complex that happens to handle "memory" as one of its jobs) more than Hugin ("Thought" - similarly complex idea here).

The best (but still wholly unsatisfactory) answer I've been able to come up with is that if we are in the material world to learn lessons that ready us for spiritual life, we need to be able to remember them. And/or the idea that memory allows a greater incorporation of Being into the self (or vice versa?), and so it is a way toward recognizing our unity with it.

Perhaps there is some kind of distinction between "higher" and "lower" memory - recalling the events of our petty lives here on Earth may be a dim reflection of something bigger and weightier, just as our personality is an inadequate representation of our true Self, and one that might obscure it, but might also be a tool for coming to know it.

But what do I know, and how can I put it into words?