Because if Leno comes off otherwise—as a very fortunate, very rich man falling upward and getting what he wants—it could devastate the image that made him successful. Jay is the guy next door, the guy who, yes, may be a lot richer than you but is essentially like you: he eats fast food, clips coupons, works hard and likes cars.
America likes that. And America likes underdogs. Americans don't like—as you may have noticed with the bank bailouts—people failing spectacularly in public and getting promotions and rewards for it. (Which, to be fair, Conan is reportedly also likely to get, at least in the form of a severance buyout.)
So Leno realizes that he cannot afford to come across as the overdog. He jokes in his monologue about The Jay Leno Show being "cancelled," but doesn't mention that he's returning to the most prestigious job in talk TV. This doesn't make Leno a schemer. But it does make him full of bull.
People want to cheer Seabiscuit. Kimmel, with stunning directness, reminded Leno, and his audience, that he is in fact War Admiral.
Is Leno hurt by this in the long run? There may come a point where all the jokes about Leno come to seem like piling on, effectively turning him into the underdog. But he's not the underdog yet. Maybe Kimmel's most damaging dig was his last: "You've got eight hundred million dollars! For God's sakes, leave our shows alone!"
