Interesting....So you are in park, actuate 4wHi or lo, hear noise, go, no 4wd.

I would say they sold you a busted truck. Gears might be trashed, and it 'engages' sensor-wise, but doesn't do anything due to the gears being shattered(maybe a fork that engages the 4wd). Easy thing to do, get a 17mm hex, or 22, I forget; drop the fluid and see how much metal comes out. Or, just take it back, pending the reputatability of the dealer you got it from. I dont have my manual or I would look at a pic and shoot it over to you. Anyway, Im curious now...look for an update later...

btw, they do stay orange in hi and lo...I checked this AM before I put it back into 2wd to get to work gotta love not much snow = morons!

 

it could be that actuator motor not engaging properly use a volt meter and see if you are getting voltage to the actuator when you use the switch or maybe the cttm