I have thought about this myself and pondered over it for a while.
You see when someone is born rich, does not appreciate his wealth. He will spend it and not even consider how much he is spending.
On the other hand when a person works and attains wealth. He is more careful of his money and appreciates more than the one born with wealth.
So a born Muslim doesn't know the greatness of the blessing of Islam that he has been given and the new Muslim knows what he has been given because they have had to struggle hard to get it.
Is there a greater blessing than Islam? There is no greater gift in this world than being Muslim.