For the most part, he's bracing himself for the inevitable, but he does follow along more or less. And if he mostly just has to listen, there isn't a need for him to talk about himself so much, and that's fine by him. Maybe he should divulge a bit more, though, to keep the conversation going.

"Oh. I guess no one actually knows how we wind up in this hell... But... Uhm. You weren't always a demon, then?" He sounds a little unsure, but that's what he's gathered so far. "What were you before?"

Maybe he shouldn't ask, but he is curious... And Conrad already offered up the fact that he used to be human. Does the Celestial Realm sound like a fancy name for some kind of heaven or something? Maybe? It's an educated guess based on what he's been told so far.