Sounds like a vacuum issue. In 2H mode, the IWE's see vacuum, and keep the IWE's disengaged. If a drop in the vacuum occurs, then the IWE's try to engage. In 4A mode, the IWE's are without vacuum and should be engaged. The Expy's traction system monitors the various wheel speeds and switches on the transfer case as needed (along with applying the brakes to spinning wheels as needed and/or limiting engine power output).
Alternatively, the u-joints could be making the noise. My old 2001 Expy made a lot of clunking noises until I replaced all 4 u-joints (3 different sizes, BTW. Thanks Ford Engineers!).