1. It won't help your mpg, because your truck is in 2wd until the a wheel slips and the 4x4 is automatically activated.
2. You will still be able to go into 4hi and 4 lo
3. I'm not sure exactly what how the 4x4 engages, but from previous threads, I think I remember that there is something in the front axle that locks when put in 4x4 or A4x4. The transfer case also locks in when in 4x4 or A4x4. Whatever the parts included that lock in when the A4x4 is activated, I would think you save wear due to them not locking in while the parts are in motion. I'm sure that if they have the A4x4, it must be "safe" but IMO, if you aren't able to turn a switch to put it in 4x4, then you shouldn't have one, especially when its shift on the fly.