The Holocaust happened, partly, because no one believed it could have happened. Even Jews, who had suffered centuries of overt antisemitism in Europe and hundreds of European slaughters of Jews just could not believe that The Nazis were capable of attempting to exterminate Jews as a people.
Millions of Jews packed their bags and boarded trains, refusing to believe that they were being taken to their deaths.
"Never Again" means remembering The Holocaust and knowing that, even in a so-called civilized country, it can happen again.
Remembering what happened in the past is a big step to preventing it from happening in the future.