There are two reasons why Jonathan is glad to be with the Hessians. After the horror and confusion of his first enemy encounter, Jonathan is separated from his band and finds himself lost and alone. He feels "a terrible loneliness...he did not know what to do or where to go" (3:16). Though initially terrified when he is captured by the Hessians, he finds they treat him decently, and though he tries to keep his hatred for them alive, before long "all he could muster was the desire to stand close to them, to be taken care of" (4:10). Jonathan feels that he has alienated his parents through disobedience and shamed himself as a soldier through his cowardice - "there seemed to be nothing left of his past", and he began to wonder if the Hessians were his only remaining friends" (4:10).
The second reason is because Jonathan begins to realize the Hessians are just people not much different from himself. He "had never seen enemy soldiers" (2:43) before, and the Hessians were indeed an impressive looking force with a reputation for fierceness and mercilessness. Once he has been among them awhile, however, he sees that, individually, they are simple men much like those in his own troops, and in his mind the line between friend and foe becomes blurred. Ironically, at the story's end, Jonathan finds that the American soldiers act even more barbarically than the Hessians.
I'm going to keep my answer short and sweet, they were the only ones he could trust at the moment so he was glad to be with them.