That is a very common trait of people with bipolar disorder. Sometimes it's due to the disorder itself and sometimes it can be caused by the medications we take for it. I went through a phase for a year where I swore I had a stroke because I couldn't think straight or even finish a train of thought, and remebering was a joke. I was on the wrong medication and once my meds were changed that has completely gone away. I thought I was getting Alzhiemers or something similar because I couldn't remember what I has told someone 2 hours prior. It was getting scary but the doc said it was the bipolar, changed the meds and I'm fine now, I don't even need to write myself reminder notes as much as before.
Good Luck!!
I cannot tell you from my own personal experience however my mother has Bipolar. She has often commented on her forgetfulness. Her's is not limited to depressive phases, although I'd say that would be understandable since when your sad regardless of the reason you can tend to be preoccupied in that and other thoughts. I beleive at times it happens to her when she is having her mind racing moments...so many thoughts that come and go, I figure something can easily be forgotten. She jokes "I swear I'm getting "the Alzhiemers"! Making notes...(with keeping them in only one place) and using a calandar seems to help her.