I'm not an expert on XJ ECMs, but logic tells me it probably doesn't operate much different than a GM ECM of the same era.
I have had experience with my '94 GM ECM, regarding being set-up to run leaded vs unleaded. With my GM ECM, the PROM contains the fuel and spark timing tables that are used to control the engine. If the PROM is for leaded gas ('94 export to Middle East, and California off-road cert (commercial vehicles)), it ignores the O2 input, and only uses the internal tables.
I know this because the first PROM I had installed in my Chevy-powered XJ, was for leaded fuel. I didn't know that was the case, and spent a serious amount of trouble-shooting time trying to figure out why the system would not go into closed loop. The engine ran fine, and did not set any codes. After changing to a correct PROM, nothing appeared to change, as far as engine operation was concerned, but it would now go into closed-loop, and give me a code if I disconnected the O2 sensor. It would also now pass Calif SMOG.:sunshine:
I'd expect the XJ ECM's to be similar to the GM. If your XJ was expecting an O2 input (ECM configured for non-leaded), and none was there, you should get a code. If your ECM is configured for leaded gas, and you run unleaded, I'd expect, at minimum, poor gas mileage.
The fuel/spark tables will not be optimised for unleaded, and I'd expect the knock sensor is going to sense more "pinging" and keep timing retarded, further exasperating mileage.
You need to determine if in fact your ECM is intended to run without an O2 sensor (open-loop, on leaded gas). If it is, and you want to run an O2, you will most likely need to change ECM's (not sure if you can change PROM's, like you can in the GM ECM).