You're kind of right. I didn't want to make the game even harder than it already is but there is a fuel penalty involved for moving forward and turning.
The moon craft is applying the correct horizontal thrust to allow you to "corner on rails" but subtracting that thrust from your fuel.
You notice if you have no horizontal movement, yaw takes negligible fuel: a short burst rotates you and you can indefinitely rotate without additional fuel.
The instant you have a horizontal component, there is a continuous fuel penalty as you rotate — because, as you point out, an additional velocity vector is required to keep you both moving forward and turning.
It's much more fuel efficient to establish the direction you want to fly the craft before applying forward thrust.
Would be amazing if you could turn this maneuvering assistance off!
On kerbal space program, I can lower my periapsis until my orbital trajectory intercepts my target and then allow gravity to take me there. I always keep the ship pointed retrograde in order to control its speed.
The moon craft is applying the correct horizontal thrust to allow you to "corner on rails" but subtracting that thrust from your fuel.
You notice if you have no horizontal movement, yaw takes negligible fuel: a short burst rotates you and you can indefinitely rotate without additional fuel.
The instant you have a horizontal component, there is a continuous fuel penalty as you rotate — because, as you point out, an additional velocity vector is required to keep you both moving forward and turning.
It's much more fuel efficient to establish the direction you want to fly the craft before applying forward thrust.