I put a K&N filter in a 2000 Durango which was a gas hog to start with and noticed an increase in performance - it just seemed to have a little more pep. However MPG decreased. In my mind increased performance does not always equate to increased MPG.
I have to assume that by K&N suggesting you disconnect the battery, they think the MO's MPG calculation is suspect. However other threads on this forum tend to indicate it is fairly accurate.
I suggest you reset the MPG and drive with the K&N for another week. Then, hoping you still have the original filter, swap it for the K&N, reset MPG to zero again and check the result after another week of happy MOtoring