I tested the game, memories even though they're unlocked are reset when you start the game.
So, you still need to manually press U key after starting the game if you want all memories.
The gallery also resets after you view a scene.
So, you also need to manually press O key after viewing each scene.
Once you view a scene and progress it though, they should be saved in the registry, meaning completed scenes will stay unlocked in the gallery.
As it looks like the game is resetting it and then retrieving actual gallery unlocked state from registry: HKEY_CURRENT_USER\SOFTWARE\Retsymthenam\Sunkissed