Fairly simple analogy: a helicopter climbing vertically is like a man climbing a steep sand dune, and slipping back down a ways with every step.
A helicopter with some forward velocity is like the same man climbing a solid hillside, making more ground for the same energy input.
In a vertical climb the air meeting the rotor has already been accelerated to a degree, whereas in forward flight the degree of downward acceleration is less. Result: More bang for the buck.