Lloyd wouldn't forget them because he does not know the truth and since Symphonia's canon treats Mithos the way we treat, say, Gilgamesh, it would be a little silly to expect all potential Symphonia characters to forget a legendary hero's name. When talking or thinking in the context of the legendary hero, they'll be able to perfectly recall that name 'Mithos' but Mithos will not recognise it as his own (or Yggdrasill in this case since the Witch takes all names) even though he knows well the story is about him.

If and when Lloyd does discover the truth, though, he'll have the similar disconnect Mithos will have upon hearing the name in different contexts.

I apologise that it's still a headache. Why did you have to be a legendary hero, Mithos?