From my understanding of the 4wd system:
the 4wd LOCK is a suggestion for the system to put the vehicle into 4wd before it starts going, otherwise, it would take the computer a few moments to realize that it needs to have 4wd engaged to get moving. But those few moments of wheel spin could cause a wheel to dig in or slip and cause further issues. so its really just for low speeds/low traction. I believe that having it in 4wd lock engages the bld and hill decent control, both of which are low speed functions.
Over a specific speed (i haven't read anything that tells what that speed is) it doesn't matter if you have it locked or not. the 4wd system is really an all wheel drive system that can send power to just 1 wheel, or all 4 wheels or any combination of wheels in between, depending on traction needs. if you can go over 30 mph, having all 4 wheels getting power isn't necessary unless a wheel slips, then it can move power around on its own, without input. it also prevents binding in the system.
again, this is my understanding, not 100% sure on it, but its what I've gotten from reading and watching vids.