Darjan, first the basics. An aircraft in straight and level flight has the center of all lifts balanced with the center of gravity. A plane with the center of gravity set forward of the WING center of lift requires down force on the tail to balance it.
Now roll 45 degrees. Gravity vector is no longer aligned with elevator trim. If you roll 90 degrees the rudder is now you "elevator" relative to CG. Unless you apply opposite rudder, a
forward CG set nose will drop. This, among other reasons, is why aerobatic planes like their
CG further back.
Agree with @PilotDan that bank will also cause reduced vertical lift, but a forward set CG will also drop the nose. Many pilots will try to pull harder on the yoke to maintain altitude, adding power seemed to work better for steep turns, as well as reducing bank angle.
Bottom line, forward set CG is not a panacea of safety in all cases. Published forward CG
limit is best adhered too.