"4Hi Lock" locks the F&R differentials. When locked, both axles have to turn at the same rate even though steering and minor road variations mean the axles are going slightly different distances. So they fight each other. The result is called 4WD wind-up.
Your noise is due to torque stored in the driveline causing tire scuffing and binding between the front and rear differentials. You may get a loud clunk or bang too. If the tires didn't scuff, you could eventually build up enough torque to break something expensive.
You shouldn't use either the 4 Hi or 4 Lo "lock" settings on dry pavement. It can cause things that are a lot more unpleasant than your noise.
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'06 H3 Adventure (9/2005-1/2013)
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