I looked into it some more and it seems like it has something to do with the weathervane effect (even when there's no wind). This might be because of of the air flow going through the helicopter as it flies in a certain direction. The nose will tend to point in the direction of travel because of this air flow.
If I added a strong enough cross wind, ideally, the helicopter will face the direction of the wind while travelling forwards.
Didn't know that, thought I'd share my experience.
Relearning how to fly a circle again =P