ive read a few other threads about that blue vacuum line its a vent for your front axle disconnect there should be three lines and that one is supposed to be open to move the diaphragm that moves the shift fork to engage the cad
ive read a few other threads about that blue vacuum line its a one way valve from what i understand it doesnt go to anything its incase of excess pressure ive seen it on the last few xj's i have owned