The 4WD system is controlled by a computer. The computer will store fault codes when it detects a problem with the 4WD system. You will need to access the fault code(s). The stored codes should point in the direction of your problem.
Had the same issue while in the OBX. Ended up being the last thing I checked working from the top down. Check the plug connection on the tranfer case. Mine came unplugged and the transfer case was not getting the signal from the computer to change. No fault codes were stored.
i have the same truck with the same problem. the plug on the drivers side of the transmission over crossmember came loose and some pins were green from water getting in there. if thats your problem get some small brushes and take your time cleaning them. dont bend any pins spray with contack cleaner and blow dry. it worked for me