I could be wrong, and maybe there will be an explanation, but I suspect Loki remembers what happened just because he's the POV character, and it's going to be confusing enough with all of the other characters remembering different timelines than the one we saw in season one. If even Loki had been reset, and none of the characters remembered what happened this season, on some level it would feel like it doesn't matter ... you know, Loki needs to remember his relationship with Sylvie, Mobius, how he tried to stop all this from happening ... or else, shortly into the new season, it would start to feel like it doesn't matter for us, since none of the characters remembers any of it.
I mean, an in-universe explanation would be better, yes, but this is reason enough, really.