I never owned a suv with 4x4. Yesterday i turn it on, and in LOW on tarmac, when doing a tight U turn, the wheels started screaching and the car was like very heavy and stucked. Very similar happend in High.

Is it normal?

 

Yes. That's binding in the front CV style jointed half shafts from the front diff to the front wheels.

Does your transfer case shifter have the Full Time / Part Time options for High, or just High and Low? There were several transfer case options.

Overall, this was normal. Keep in mind that using your four wheel drive system on dry roads can cause issues like you saw, and even cause damage to components. It's okay to test and check the system for operation but don't use the systems unless you're lacking traction.