Time series forecasting often suffers from over-smoothing, especially when future dynamics are multi-modal. Forecasts may follow the coarse trend of the observed future, but fail to preserve sharp changes, oscillations, turning points, and regime transitions that define plausible dynamic evolution. In this work, we revisit over-smoothing from the perspective of latent dynamical mode compression: under partial observation and single-realization supervision, multiple plausible future modes can be weakened, merged, or averaged during forecasting. Based on this view, we propose Dirichlet-Guided Group Forecasting (DGF), a mode-preserving forecasting framework that explicitly models multiple mode-conditioned predictive distributions and uncertainty over their selection probabilities. DGF uses a Dirichlet-guided hierarchical sampling mechanism and reward-based optimization to encourage forecasts that are accurate, dynamically consistent, and mode-distinct. Extensive experiments on real-world forecasting benchmarks show that DGF reduces over-smoothing while improving forecasting accuracy, diversity, and dynamical consistency.