I realize this is an old post, but it's still returned near the top in web searches and I didn't find others that gave a real answer. So, here's what I can add. I have a 2005 Wrangler TJ 4.0 and the AC ran at all vent settings and, I believe, also when the vent was off (the AC compressor on mine is buried deep and I don't have a clear view of the compressor clutch - just a side-view of the belt).
Anyway - Car ACs have a compressor which has a turn-wheel that is one of the wheels the serpentine belt goes around. When the AC is off, the wheel spins freely. The compressor has a magnetic clutch. When you turn on the AC a signal is sent to a relay located in the main fuse box in the engine compartment (which Jeep calls the Power Control Module or PCM). The relay tells the magnetic clutch on the AC compressor to engage or disengage.
So, with this knowledge the problem could be wiring, a bad relay, or a bad AC compressor clutch (one that is stuck in the engaged position). Easiest way to troubleshoot is to identify and remove the relay (it's labeled). With it removed, the AC should not work. If you still have AC, it's a problem with the AC magnetic clutch. Otherwise, you've narrowed it down to the relay or wiring with the relay being the probable cause.
In my case, just unplugging and jostling the relay and plugging it in again seemed to fix my problem. If it reoccurs, I'll buy a new relay. OEM ones cost ~$15 (<$20), so I wouldn't mess with cheap aftermarket ones.
Hope this helps someone.