Yeah, exactly that was when Helga trusted Thomas enough to slide down Wanda's wing and ended up in his arm. I made a slow motion here and found this cute screenshot!
Yeah, I was greatly disappointed by the ending. HOWEVER, it is undecided whether they would forget or not since they regained the memories by themselves unlike the Children of Befort who relied on the Autozone.
And...if they were ever to forget their past life, I strongly believe that their memories in this present life are still vivid and permanant. For example, the Children of Befort still kept their present life memories even if they forgot who they were in the past right?
Thomas is now Thomas while Helga is now Helga, and Thomas still has strong feelings toward Helga. That is how cruel fate is to them.