God’s wisdom is not, and never was, pledged to keep a fallen world happy, or to make ungodliness comfortable. Not even to Christians has he promised a trouble-free life; rather the reverse. He has other ends in view for life in this world than simply to make it easy for everyone.
What is he after, then? What is his goal? What does he aim at? When he made us, his purpose was that we should love and honor him, praising him for the wonderfully ordered complexity and variety of his world, using it according to his will, and so enjoying both it and him. And though we have fallen, God has not abandoned his first purpose. Still he plans that a great host of humankind should come to love and honor him. His ultimate objective is to bring them to a state in which they please him entirely and praise him adequately, a state in which he is all in all to them and he and they rejoice continually in the knowledge of each other’s love–people rejoicing in the saving love of God, set upon them from all eternity, and God rejoicing in the responsive love of people, drawn out of them by grace through the gospel.
-J.I. Packer, Knowing God, pg 91-92
When he forgives our past sins and comes into our life it is to teach us to deny ungodliness and worldliness and lusts in this present world.