The thing to remember is that GPT has no state apart from the context, so it can't "remember" anything apart from what's in the text. That doesn't mean it shouldn't be able to stay consistent in a guessing game but it does mean it can't keep secrets.
Some of that can be solved with layers above GPT where say it it told it can save "state" that isn't passed on to the human but fed back in to generate the next response. But the size of that context is very limited. (a few thousand words)
There seem to be a fair number of experiments playing with giving GPT this kind of long term memory, having it establish goals then calling it over and over as it accomplishes subgoals to try to work around those limitations.