TIMTS,
The MP changes itself because you are no longer trimmed when you enter the turn. To trim, you must reset all controls to achieve a steady-state capability to hold the maneuver until the cows come home.
If you trimmed in the turn, you would find that the mp has to rise in the turn, because the rotor is carrying more weight (load factor). The mp doesn't rise by itself, you will raise it when you lift the collective, right after the vertical speed ticks downward.
The initial mp drop is because the load factor makes a slight coning increase, which raises the rotor rpm and drops the mp.