Well, if he's the Alpha's memories, that means he probably has a vague sense of being the "Director" and not Private Church. Caboose constantly talking to him about things Church has done and everyone later referring to him as Church may have helped with that slip from thinking of himself as Epsilon to Church.

Anyway, I found it more weird that everyone was talking about Epsilon like he was Church, than Epsilon thinking he was Church since it could be explained simply as Epsilon is cuckoo. XD;