“He sent word to Moses: 'I, your father-in-law Jethro, am on my way to you...'”
Jethro came to Moses after he “heard about all that God had done for Moses and His people Israel when He brought Israel out of Egypt.” Why didn't he come before, on his own accord? After all, Moses was his son-in-law, and the leader of the Jewish people; besides, Jethro was bringing with him his daughter Tzippora, who was Moses' wife?
The answer is that Jethro was the reincarnation of Cain, and his life had a purpose: correction of the destruction that Cain had committed. There are two theories of when Jethro arrived: before the giving of the Torah (as the sequence of events seems to indicate), or after (which could also work, since the Torah does not always follow the timeline in retelling the events). Both theories have a common point of view, that the essential correction of a person is through Torah. That is the meaning of the phrase in the psalms, “All God's teaching are pure” – that is, they purify the person – and the word “purify” implies strenuous hard work.
According to the first theory, he came to be purified by the Torah which was given shortly afterward, and according to the second, all events and miracles meant nothing to him, but once the Torah was given – he had no doubt that now he had to go. The Torah purified the Jews from the mistake that Adam had made in the first place, and gave them a second chance and a clean slate.
In fact, Abel has exacerbated the mistake of his father Adam by looking at Divine Presence. This happened when he brought his offering, and God “accepted it.” This acceptance meant that Abel was given a chance to experience the Divine Presence, which he misused. Cain, on the other hand, did not have this chance. This “looking” was what made Abel to be liable to be killed by Cain.
At the time of the giving of the Torah, everybody, including Moses, were connected in their soul root to Abel. Jethro was the only exception, for he was the reincarnation of Cain. The continuation of Cain's correction happened through the sons of Aharon, Nadav and Avihu. They tried to use the incense for this, but were also involved in “looking” and thus only partially succeeded – for they died in the attempt – until the final correction came through Pinchas.
Art: Jan Victors - Moses' Parting Of Jethro