I have a 99 Expy and the thunk isn't normal. Although if your on a high traction surface you'll hear it struggling because its under pressure from the turn (in 4wd). A guy that worked with me had a jeep cherokee all time 4wd and he had the same problem of the thunk noise on turns. The mechanic changed the axles, rebuilt the driveshaft a few times, and then the axles again (think the dealer messed up the order on the first axle) and it went away. But it came back after a while.
Mind you the mechanic isn't the best. Do you have a computer reader? Check the code. I'd have a mechanic check the front end. The diff, or the axles are problemed I'd guess. The steering on mine is a little different than normal vehicles but I think its the speed sensative steering that gives it that feel.
Btw, your going into netural first before going into 4 low right? Otherwise its still in high. Prob not the problem, but you'll be able to know for sure its going into low.