Chemotactic bacteria are known to collectively migrate towards sources of attractants. In confined convectionless geometries, concentration "waves" of swimming Escherichia coli can form and propagate through a self-organized process involving hundreds of thousands of these microorganisms. These waves are observed in particular in microcapillaries or microchannels; they result from the interaction between individual chemotactic bacteria and the macroscopic chemical gradients dynamically generated by the migrating population. By studying individual trajectories within the propagating wave, we show that, not only the mean run length is longer in the direction of propagation, but also that the directional persistence is larger compared to the opposite direction. This modulation of the reorientations significantly improves the efficiency of the collective migration. Moreover, these two quantities are spatially modulated along the concentration profile. We recover quantitatively these microscopic and macroscopic observations with a dedicated kinetic model.