Replacing the exhaust, when done right, doesn't require the fuel rail to be removed from the intake. I doubt there is air in the rail as it would easily be forced out after running. Are you sure the exhaust manifold was seated properly on the head? There are 2 cast points that protrude out that help align the manifold.
Also check to see if there are any broken vacuum lines or if any happen to get disconnected. Another item to look at is the MAP sensor. This sensor can cause problems like you are talking about, and had that issue before on my XJ.