Jeep stopped using the front axle disconnect around 1992 or 1993, so ALL XJs from then up to the last one built in 2001 didn't have it -- and XJs with the Selec-Trac transfer case didn't have it. In theory, yes, it probably costs a bit in fuel economy. But you're not driving a sleek, aerodynamic SST, you're driving a brick on wheels. In the real world, you'll never notice the difference.
True^^ story.