Primarily, this episode suggests that Jude is not a practical person. Rather, he is a dreamer; a romantic.
We see his earlier as well when Jude is fired from his first job, having allowed the crows to eat the farmer's corn.
As with his intellectual ambitions, Jude’s sensitivity evinces his lack of pragmatism.
When Jude is reading his books on horseback, he is still quite young and fully dedicated to the idea of "bettering" himself through education in Christminster (and thereby gaining a metaphysical elevation of position). He is clearly not engaged in the work he is doing for his aunt since he lets the horse guide itself along the delivery route.
Instead, he is engaged both with the texts that he is puzzling out and the larger dream that these texts represent - an educated and cultivated future self or life, characterized especially by the city of Christminster.
This dream is of the highest importance to Jude and effectively dominates his day to day life, as evidenced by his behavior in this episode.
Jude's desire to attain an education is seen to be as strange as his behavior in Marygreen as he reads while on horseback.
Jude’s interest in Christminster is at odds with the attitudes of his aunt and many of the other villagers, who see Christminster as evil.
Jude's view of Christminster (and scholarship generally) can be seen as romantic, in part, because it is unrealistic and impractical.
...a university education was for upper-class males. Most middle-class men did not attend the university, and certainly, the working class did not.
In addition to impracticality of this dream, Jude's attraction scholarship and the scholarly life is also literally poetic, adding another element of romance to his vision.
Studying and memorizing texts in Latin and Greek, Jude absorbs the texts he reads and honors them, though they prove to have very little application to his life.