In my case (I installed gcc 4.1.1 from sources) it didn't and I need them in order to call JvInitClass() on an exception a third-party package derives from org.xml.sax.SAXException
This is an issue in gcj/libjava. The makemake.tcl script only installs CNI headers for 'ordinary' packages. Packages marked bc will not have CNI headers generated or installed.
BTW. GNU Classpath doesn't include xerces. The org.xml.sax classes come from www.saxproject.org (see gcc/libjava/classpath/external/sax/README).
Closing as won't fix as libgcj (and the java front-end) has been removed from the trunk.