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Personally I would stick with what it calls for, but if anyone else has different opinions I would like to hear them too because I've wondered the same thing before
ATF is used because the tolerances on the gears and bearings are much tighter then they used to be. Also since the ATF is thinner there is less resistance generated thus that is one of the reasons that milage estimates went up. Not that its any thinner but they say if you go all synthetic your milage will get better also. I use synthetic ATF, Power steering fluid and mobil 1 synthetic in the rear end and I am getting 22-23 mpg with my 4.0 5 sp 2wd 94 SC at 70 mph avg speed.
Apart from the needle and roller bearings that will be ruined from the heavier lubricant, the synchro linings are of a fiberous material that requires the ATF to work properly. Just about everyone who has tried gear lube in a modern manual transmission usually ends up switching back very shortly complaining of shifting problems. I have heard of people mixing a small amount of gear lube in with the ATF, but I don't know how well they will blend. These are the folks that are worried that ATF doesn't have enough film strength to cope with a high stress situation, forgetting that automatics do just fine under similar conditions with the ATF.