You could add another URL parameter to the link sent in the user registration email through the ‘wp_new_user_notification_email’ filter. Then hook the ‘validate_password_reset’ action and look for this added parameter in $_GET. If it exists, you know the link in the new user registration email was followed. If so, output the event snippet. This will record a conversion just before the new user enters their initial password. They are not yet a fully qualified user at this point, but about as close as you can get.

If you really need to wait until they set a password, the new user status would need to be passed on to the next action=resetpass step. Perhaps by setting a cookie, which would require running a small script. This may all get more complicated than is warranted.