Another interpretation: he went to take leave of him. "And he said to him, Go to peace [lekh le-shalom]" (Exodus 4:18). Everyone of whom it is written "to peace [le-shalom]" goes and returns, and everyone of whom it is written "in peace [be-shalom]" goes and does not return. Of Abner it is written, "And David sent Abner away, and he went in peace [be-shalom]" (2 Samuel 3:21) — he went and did not return. But Jethro, who said to Moses, "Go to peace [lekh le-shalom]," he went and returned.
Go to Peace and You Return, Go in Peace and You Do Not
Yalkut Shimoni on Torah 173:5
דָּבָר אַחֵר, שֶׁהָלַךְ לִטּוֹל רְשׁוּת מִמֶּנּוּ. וַיֹּאמֶר לוֹ לֵךְ לְשָלוֹם, כָּל מִי שֶׁכָּתוּב בּוֹ "לְשָׁלוֹם", הוֹלֵךְ וְחוֹזֵר, וְכָל מִי שֶׁכָּתוּב בּוֹ "בְּשָׁלוֹם", הוֹלֵךְ וְאֵינוֹ חוֹזֵר. בְּאַבְנֵר כְּתִיב (שמואל ב ג, כא) "וַיִּשְׁלַח דָּוִד אֶת אַבְנֵר וַיֵּלֶךְ בְּשָׁלוֹם", הָלַךְ וְלֹא חָזַר. אֲבָל יִתְרוֹ שֶׁאָמַר לְמֹשֶׁה לֵךְ לְשָלוֹם, הָלַךְ וְחָזַר.