How can I rotate character's velocity with the direction it's direction while in air?

Hello, try this :

Go in your class default and UnCheck “UseControllerRotationYaw”, then go in your CharacterMovement Component and UnCheck “UseControllerDesiredRotation”.
Then, in your CharacterMovement Component Check “UseControllerDesiredRotation” and put in “RotationRate” X:360, Y:360, Z:360. This will make your character follow his velocity.