JeongWon definitely retains her memories because she knew that she had to lie to YunSeo in the beginning about being a civilian. She would not have lied if she did not realize what was truly going on.
No happy ending. (Bittersweet, at best. As long as you don't think too much about what will happen with the characters…
Wait that's interesting. I interpreted that final montage as Ryong and Byeol surviving and making it back to earth. If the intention was that they don't survive, that makes things far darker.