Welcome to CF. I think he was mistaken. I don't believe the Auto-lock feature was available on the '94 model. There must be something wrong with the switch in the door, or probably the wiring in the harness between the body and door at the A-pillar. The key only unlocks the door that it's being used on.
I do believe that is the door unlock relay,, located behind the glove box. You will have to remove the glove box to access the relay center.. should be an empty spot to reinstall the relay you have in your hand..
OK, I finally found the position of this device. It is located on the driver side left of the steering weel next to the hood release. After disassembling the whole dash and removing the glove box I finally found this position!
But there is another problem. After putting it in the central lock worked fine and there are some nice alarm if you forget the key, or don't use the seat belt. Unfortunately the pulsing seat belt reminder turns into a constant tone after using the seatbelt! What's wrong?
And as Griffin13 said, there is no auto lock feature in the Jeep.