I've expressed my view on this a bit in this thread, but here it is again, maybe it'll work for you.
They aren't in a purgatory, it's the next level of their existence. It's the Buddhist rebirth idea. They don't remember because they have a different life here. It's there same soul, but it has to still develop.
Wikipedia on Buddhist Rebirth
Within one life and across multiple lives, the empirical, changing self not only objectively affects its surrounding external world, but also generates (consciously and unconsciously) its own subjective image of this world, which it then lives in as 'reality'. It lives in a world of its own making in various ways. It "tunes in" to a particular level of consciousness (by meditation or the rebirth it attains through its karma) which has a particular range of objects - a world - available to it. It furthermore selectively notices from among such objects, and then processes what has been sensed to form a distorted interpretive model of reality: a model in which the 'I am' conceit is a crucial reference point. When nibbana is experienced, though, all such models are transcended: the world stops 'in this fathom-long carcase'.
The early Buddhist texts make it clear that there is no permanent consciousness that moves from life to life. The lack of a fixed self does not mean lack of continuity. In the same way that a flame is transferred from one candle to another,there is a conditioned relationship between one life and the next: they are neither identical nor completely distinct.
Fits pretty damn well. Not perfectly, but a good modification.