Leslie's character remembers the important people/events in his life, yet he was self-destructive - he used Maggie as a means to fulfill his sexual desires without empathy for the consequences that it would entail after (as seen towards a literal interpretation of the film). Leslie's character sought for revenge and rage against his mother who adopted him as well as his real mother, which may be the reason for his lack of compassion towards women.
During the train conversation, Leslie's response: "I remember what should be remembered" is ambiguous: either Leslie loved Maggie, yet couldn't fulfill her desire of getting married because of his personal ethics (misogyny in general); or Leslie's character is skewed in such a way that he considered the moment with Maggie as a personal accomplishment of sexual gratification. Either way, Leslie definitely remembers Maggie in a sense that she was a pivotal figure in his life.
Like most Wong Kar Wai's characters, Leslie is quite complex on his decisions and outlook on life. Psychologically, it seems Leslie constantly battles with himself between his desires and his principles. Andy's character questions Leslie's motives and actions, which illustrates Leslie's awful choices and codes he abides by. For example, Leslie sees himself as a bird who flies until it dies - the metaphor is contradictory because he basically lived with and stood guard by his mother throughout his life insomuch his choices eventually led to his own demise.