We routinely switche from DB2 UDB to XDB and when we do, we have to manually remove a UDB-specific compiler directive from our MFE Build Settings for Project > General tab > Additional directives in order to compile the same programs. Is there any way to avoid having to add or remove the directive when changing from UDB mode to the XDB mode?

From the Project > Build Settings for Project > COBOL tab > preproc tab you could add the directive under 'Use additional preprocessor and directives' and instead of adding and removing the entry each time, you may check or uncheck the box as needed.