It is a fuel effeciency issue. When you disconnect it you have less metal spinning around. All that spinning takes up power whether it is directly from the engine or increasing the rolling resistance of the front wheels.
There is also a wear issue, but you also want to use it every now and then so it doesn't freeze up.
The reason for vacuum locks as opposed to manual, as stated earlier is for convience, one so you don't have to get out of the car, and the other is to make sure you do both, people have been know to lock one and forget the other or forget to unlock one. Then you have weird balance issues.