I've been lurking on the boards for a while, and don't like to say much unless I know what I'm talking about. I've been engineering ABS systems for about 7 years now, so here you go:
It's perfectly legal for you to remove the ABS fuse as far as I know. Just make sure that when you do it, only the yellow "ABS" light comes on. I'm pretty sure all XJ's use prop valves for rear braking, but if they don't and I'm wrong, the red brake light will come on and I would put the fuse back in or you'll lock the rears prematurely.
Secondly, if you don't like ABS on snow and ice, try it again with the vehicle in 2WD or Full Time if you have the right t-case. ABS, and especially old ABS systems, hate 4-hi lock. It is incredibly difficult to independently control 4 wheels when the fronts are tied to the rear. Seriously, a nightmare. I digress.
Anyway, outside of 4-hi lock, it is my opinion that having ABS for on-road driving is always better than not having it. But like I said, it's your legal choice. And for the non-XJ world, if you have a newer vehicle, just plain never pull the fuse. The systems have gotten WAY better as of late and can detect what surface you are driving on (snow, ice, asphalt, gravel, sand, offroad). Hope that helps, and I'm off my soap box.