The gear the transmission is in won't matter if the transfer case is in neutral. The transfer case being in neutral disconnects the entire driveline from the transmission.

 

When I used to flat tow my Jeep, I always put the transmission in fifth gear. The reasoning behind this is that if the transfer case were ever to drop into gear while I was towing it down the highway at 60MPH, it wouldn't do any damage to the engine, as opposed to trying to do 60 in, say, first gear.

I'm curious, though, about the no tow dolly thing. My truck has locking front hubs and I drive it with them unlocked, which is kind of like having it on a tow dolly (rear driveshaft spinning, front not moving). I've been driving it this way for quite a while (as does pretty much anybody with a SAS) and haven't noticed any ill effects.

 

Owners manual = lawyers = CYA.

Somebody, sometime, probably with an automatic burnt out their transmission due to lack of lubrication after towing it across country.

It really shouldn't be an issue, with the transfer case in neutral.