Lockers arent mean for high rpms/speed. You may have fubar'd something in there. Get on pavement, lock the dif and make a sharp turn and you will be able to tell if your locker is engaging or not. Nonetheless, can you say warantay!
FYI, you may not want to tell them you were getting on it, but perhaps you were going up a gravel hill at low speed and you wanted to maintain traction

. However, in my past Hummer has warrantied off road damage including GMPP.