Well let's think, you LD and then once you've realised you're LD'ing you decide what you want to do, remember your techniques and stop yourself from waking up, you then wake up and your dream is now a memory

Just because you dont sometimes recall a dream doesn't mean it didn't happen for example when you get very very drunk you don't remember doing things and have loss of memory.

Watch inception, it has a theory of one hour in a dream is 5 minutes in the real world, not sure if this theory is correct but it could explain long dreams or multiple dreams fitting into a short period of REM if it is true.

Either way during the LD you make a conscious decision to do things as if you're actually there and you can consciously control variables within the dream to your liking rather than the dream playing out against your will when you're not lucid.