Outstanding question! I had to have it explained to me by a mechanical engineer, my partner over at ORTB, James Downing.
When you're rolling along in 2HI, assuming the front driveshaft has enough friction in its seals to not rotate on its own, the driver's side tire and CV shaft are rotating. The passenger side tire, is also rotating, but because the splined disconnect collar is not engaged, it's not connected to the intermediate shaft going through the oil pan. If the front driveshaft (from the transfer case to the front diff) is not rotating, then neither is its pinion gear or the differential's ring gear, or the differential's carrier. But the driver's side CV shaft is rotating its end gear, which rotates the two little spider gears in the carrier, and that rotates the passenger's side end gear that's connected to the intermediate shaft. Backwards! I didn't visualize this for a long time. The intermediate shaft is rotating in reverse from the passenger side CV shaft, which means the splined disconnect collar has some rotating mass (the intermediate shaft, its end gear, and ultimately the differential carrier, ring gear, pinion, and front driveshaft) to get up to speed instantly. This can wear the splines or stress the collar in the disconnect.
Soon as I understood this, I quit engaging A4WD at any speed. People do it all the time, and it hasn't been proven to break things, but it could. And many offroaders rebuild their disconnects to put in the permanently-connected collar from AWD vehicles like the Bravada, and accept the lower gas mileage.
The fact that the differential and transfer case still have spinning internal parts, even in 2HI mode, has disappointed a few owners who don't want to service or repair their units, and thought they could just drive in 2HI mode and not worry about things.
Added: In the 2HI->A4WD transition, the transfer case encoder motor is ALSO in the process of engaging the clutches to that 5% torque bias position, and if they engage before the front axle disconnect, then the clutches have a gentler time of getting the front driveshaft to spin, but there's no guarantee the transfer case wins that race.