When you look at the Gospels in their historical context this makes a lot of sense. The Romans existed in that place and time outside of the ongoing relationship between the Chosen People and God (with all of its ups and downs through history), and as such they were far more likely to look upon someone like Jesus Christ in a very objective manner and react to Him the way an ordinary person would.
For example ... I cannot imagine how someone in those times could watch Christ cure a leper or make a blind man see and not be shaken to his core by what he's witnessed. And yet an awful lot of people stood there and rationalized such a remarkable turn of events away.
Some scholars believe that Roman soldiers were converted in such great numbers that they were largely responsible for the spread of Christianity throughout the Roman Empire.