(5) את כל אשר עשה אלוקים למשה, “all that G-d had done for Moses.” 1) That G-d had saved him from Pharaoh; 2) that he had become the leader of a great nation. 3) That he had achieved this stature in a place that previously sought to execute him.
It's interesting to note that although there is a Halacha not to remind a Ger/convert of his previous "life," here it specifically calls Yitro the Priest of Midyan, reminding him of who he was before he recognizeed the truth of Judaism and Torah.
The answer, which I heard from Rabbi Shlomo Farhi, is that at that time right after Yetziat Mitzrayim, many Egyptians wanted to convert to Judaism out of fear of the Jewish G-d punishing them, as they saw with the 10 plagues. And it is no wonder that they would want to convert to Judaism at a time when their lives were so difficult and traumatic.
The greatness in Yitro is what separates him from people like the Erev Rav is that Yitro was Cohen Midyan; his life was going great. He was at a high place in an esteemed position. And yet, though he had everything he needed: money, respect, power, he still recognized that the truth of the Torah is more valuable than anything. He, unlike the Egyptian converts, was in a great place but still managed to find G-d. We can take this as a lesson for ourselves, that our connection to Hashem is not only judged by how hard we pray when things are tough, but how connected we are when things are going well.
How close are you to Hashem when things are going well in your life?