Since when was ever implied they don't have memories at the end of the game? Pretty sure the point was that they were going to sacrifice themselves only to reveal that no, they were fineThe game's cliffhanger is that the two are resurrected as two distinct individuals but probably without their memories due to how the weapons work. Which makes this scene even more gross out of context.
They were also not regular Blades like the rest so the "no memories" rule should not affect them