From what has been said, there are differences in the T-cases. I didn't know this, so the newer ones (96 and up) may not have this problem. Someone chime in if you have had this problem with a newer t-case.
Here is why it will roll in park. We need to think of the VC as a differential. If you jack up the rear end of a rear wheel drive car, and it is in PARK, you can still get the tires to rotate. If you rotate the tire on one side, the other will rotate in the opposite direction...even though it is in park. The transmission is locked, the drive line is locked, but the rotation from one tire can be transferred through the differential to the opposite tire. If you take out an axle shaft and cut it in half and reinstall it, you can park on a hill and the car will roll backwards. The cut shaft section that is inside of the differential will spin freely while both tires are rolling backwards.
In the Jeep, think of the VC as a differential. If you cut one side of the axle (take out the drive shaft) and leave the other one connected, the car will still roll in park. The transmission is locked in park. But the rear drive shaft can rotate and allow the car to move because the VC (acting like a differential that applies different speeds and power to the different wheels) doesn't have anything else on the other side of it to stop it from spinning. So nothing in the transmission moves because it is in park. But the front and rear output shafts (which are connected through the VC) can still spin. Again, the VC is acting like a differential and can spin even when everything else in front of it in the transmission is locked down from moving.
Putting a transmission in park doesn't lock your tires, it locks the entire system that sends power to your tires. If parts are missing from the system that will allow independent movement between tires, problems can occur.
I am not an expert on the internal workings of the t-case. I don't know if this is only a problem in the older 93-95 t-cases. But this does happen. I am not sure if running without a front ds will damage the VC. I have seen two different GC's roll with the front drive shaft out while they were in park.