My '04 with the same 42rle auto tranny as yours does the same thing. Only when it is very cold outside, and I just start it up. It takes a few seconds to go into gear. It goes away when the engine is warmed up. I think it is normal. It's been doing this for years. My Jeep has 42,000 mls on it.
~Pacific Northwest 4WD Association~
2004 TJ X, 4.25" combo lift, D30 Eaton e-locker, D44 ARB, 4.88's, 35's,
10 Factory, Currie, TW, MCE, JCR, UCF, Savvy, etc.