INSTALL and http://xemacs.org/Install/index.html give no guidance on
whether to choose Mule or non-Mule. 

The webpage seems written for someone who not only knows Mule, but have
already made up their mind whether to use it or not.

INSTALL includes this: "Enabling Mule support requires the mule-base
package installed prior to building XEmacs."  
Some specifics on how that works is needed: after all, you won't be
installing mule-base using the package manager before you've even built
the binary.