I look at it this way.. making my living fixing this stuff like the guy from Racer X...
you have three systems in play here...
electrical; fuses, relays, switches and motors
mechanical; all the "hard parts" including the hubs (which you can't even count on a Warn to be engaged when it says it is, but that's another thread)
and the vacuum system; pump, valve, reservoir, lines
any one component of which will "make the 4x4 not work"
My low range an 4x4 light are both on an my 4wd does not work
on a truck where the ESOF hubs have been replaced with warns,
would generally lead me to think that the system electrically is fine, as you need to have the truck in neutral for the PCM to shift the motor between ranges, and the light on the dash indicating 4x4 or Low Range takes is triggered by the plate switches in the range motor.
The sequence is,
command 4x4 from the dash,
the PCM closes the 4x4 relay,
sending power to the shift motor and hub vacuum switch
which shifts the transfer case, and draws vacuum from the hubs
until
the plate switch in the motor closes (or opens, I'd have to look)
telling the PCM to shut the motor off
by opening the relay
and then turning on the dash indicator light
Which leads me to question:
are the front hubs BOTH engaging, or is one hung up, causing the front differential to not drive that particular wheel?