When a 4WD vehicle is left in locked position, both the wheels for a given axle supposedly turn the same amont. Therefore, if you turn, the wheel to the outside of the turn travels a farther distance than the inside wheel. If you're on slippery or loose surfaces .... no problem. If you're on solid non-slippery surfaces, the drive train can 'bind' putting all the stress on u-joints, and diffs, and transmissions. Unless you're familiar with 4WD, you've probably never experienced this.
The point is DON'T DO IT. The lock feature is meant for slow speed maneuvering, like if you're stuck, and rocking the vehicle. Unless you need to start like a jackrabbit every time whether there's snow and ice on the road or not, don't lock the diffs. Drive a little more carefully and slowly with ice covered roads, and use the lock only when you need it. Ice is still ice and is damn slippery even with AWD. I can't tell you how many people get AWD or 4WD and wreck the car the 1st snow season.
REVHIGH !!!!!!!!