Apparently some TJs (i think, not sure) have a 1 piece passenger axle in the Dana 30 - that could be a better option if it would work in your axle rather than locking the collar), but the result would be the same other than i think a more solid setup with the 1 piece axle.
Actually, ALL TJ's and all '96 and up XJ's as well as the ZJ's, KJ's and everything else after 1996 have front axles that turn all the time.
So yes, you will probably lose some mileage since everything has to turn which causes parasitic drag. If you have a spool or a LSD you will have understeer. An auto-locker would at least unlock when turning so it wouldn't understeer.
Instead of screwing around with the vacuum disconnect and still having the two-piece housing as well as shaft, I would look to get a late model axle that is hi-pinion and without the disconnect. D30's are pretty cheap.
Oh and those Jeeps with disconnects, the front driveshaft might not be balanced for high speeds which will cause vibrations as it's turning all the time. Also, seals tend to seep a little as they aren't used to being used now.