After suggesting that other people had too much time on their hands, I've also been giving this concept a bit of thought. How does this sound?
The helicopter weighs quite a bit and has significant momentum.
It flies because of aerodynamic forces that depend on the airspeed, but is also influenced by its momentum - to use those wildly aerobatic little fixed wing a/c as an example, they very obviously use both the aerodynamic and ballistic (momentum-based) characteristics to carry out those wild-arsed manoeuvres that they do, with angles of attack and IAS all over the place as the machine responds to a combination of aerodynamic forces and its own momentum.
Back to the helicopter; if you had a very light machine holding a small steady angle of bank in a constant wind, I reckon it would go around without much attitude changing required.
Your everyday heavyish machine with a decent angle of bank probably experiences an observable combination of aerody and momentum effects as it turns.
If it's moving upwind and turns downwind, the momentum could cause a small loss of airspeed requiring more nose up, and vice versa when going the other way.
Does that sound reasonable?