Hi HedsIc,
From your first question, I'd be willing to bet this is your first 4x4. No worries, I was there once too. Welcome to LOST!
Ok, your KJ's 4 wheel drive system is Command Trac, which is very different than you'd find on an all wheel drive car, like an Outback. Your Jeep's Part Time 4x4 system locks the front and rear wheels together so that they turn at the same speed. That makes for some serious off-road capability, but it is not good on dry (or even wet) pavement where your wheels already have traction. When you take a corner, the geometry of the circle makes it so that the front wheels need to spin at different speeds than the rear, which is why your Jeep is struggling on your parking ramp at work. This situation will bind the transfer case, leading to serious issues like a broken t-case chain or even blowing up the t-case (I'm not exaggerating-- I've seen pics of t-cases with holes in the side). I would say you are lucky so far, but from now on just use 4-hi and 4-low on dirt, snow, or ice, or any surface where you need traction, but where the wheels can spin at their own speeds.
As for your second question, I would say that you're just adding electrical load when putting up all the windows, so there is a little less oomph for your headlights. When you step on the gas, your alternator generates more current, brightening them back up. If you are worried, I think most auto parts stores (Advance, AutoZone, etc.) will test your battery and alternator for free. If you still have the original battery from 2006, you are probably getting close to needing to replace it.
Hope this helps. Read on the Jeep company website about Command Trac.
http://www.jeep.com/en/4x4/ You can also download an owners manual from the Jeep site if the previous owner didn't include that. It is very important to learn about your 4 wheel drive system and when to use it (and when not to).
Cheers,
LFH
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