I've never seen a XJ with leather AND heated seats in person. I was close with my '98 Limited, just didn't have heat.
It was only available in 2000 and 2001 on the Limited, and was an option rather than standard-fitment. The switches for them reside in the space the front ashtray would normally occupy, FWIW.
Looks like it's finding the rarest of XJ's (for me anyway, '99XJ full options) in the JY or go with Grand Cherokee seats.
ZJ/WJ heated leather seats are going to be a lot easier to find.