Being grateful is very different from any sort of triumphalistic and worldly pride or spiritual self-righteousness. But, yes, very, very grateful to be Catholic. Why? In the Catholic Church under the universal shepherd who is Bishop of Rome lies the fullness of truth flowing to us from the Hebrew Bible and the New Testament and subsequent Tradition. In that fullness, we find truth, the truth which is the only thing in this world that is genuinely liberating.
There are many forms of escapism. You know them very well as my fellow sinners. You do not need me to catalogue them for the sinners' gallery, of which all of us are very experienced members. But there is only one form of liberation: the Truth who is the Person, Jesus of Nazareth, who has graced us, the most unworthy, with the fullness of his revelation in the Catholic Church. So be grateful, very grateful. As to the terrible scandals, remember that the one true Church of Jesus Christ under the Bishop of Rome (in the sense of the one visible Church on earth bearing the fullness of divine revelation--others certainly, undeniably, and thankfully have extremely significant and profoundly extensive chunks of that same divine revelation) is well worth deep and very painful, and even ruthless, purification.
We are not better or more deserving than anyone else, but we should be the most grateful of the undeserving. Remember all of this in the coming months and years.