On the ZJ I was working on last week, I had voltage going to the coil both with ignition on and while cranking. I only had a test light, not a multimeter, so I don't have exact numbers and don't remember off hand if it's 12V in both cases, or starts lower and steps up as the engine is turning over. Either way, ignition on, you should have voltage going to the coil, and definitely while cranking.
Pull the connector off the coil and check for voltage. That will tell you right there if you're losing it before the coil, or at the coil. If you've got no voltage coming to the coil, then the problem lies deeper (wiring harness, ASD relay...etc).
Can't really tell what that plug is from your picture...any more details on where it goes to? I can try and trace it on mine and see where it leads, but it'd be mid week before I have a chance.