The major significance of this conversation is that it shows us how important the castes and conditioning are in maintaining stability in the society.
As Henry and Lenina talk, she talks about how happy she is that she is not an Epsilon. But Henry points out to her how the conditioning that people receive makes them all happy to be in the caste that they are in. He also points out that the people's different heredities make them want different things.
These are very important points in this book. A major point of the book is that the World State has (or at least has tried to) engineered things so that no one is discontented. Through genetics and conditioning, they have made people who are perfectly fitted for the jobs they will do and who are happy with their status.
This is the best and worst thing about the World State. It is perfectly stable because everyone is happy (as Henry says) but it is also terrible because everyone is denied the chance to be a human being. Instead, they are sort of robots who have been engineered to think and act in given ways. Because the conversation points this out to us, it is very significant.