Ventura is a wacko. No doubt about it. However, he won because Kyle's story was fraudulent. As were his tall tales about shooting American citizens from atop the Super Dome during Katrina, and his killing two muggers at a gas station then riding off into the sunset without any sort of headache. Kyle was a liar and Ventura's a wannabe bully.
As for the context of this scenario, it's because Jimmy Norton had previously made Ventura look like an absolute fool when the show was the Opie & Anthony show. Ventura tried to bully Jimmy, Jimmy didn't give a shit, and Ventura stormed out because he not only had no argument, but couldn't intimidate the talent. See here: