The internal structure of the passenger side splined disconnect sometimes delays full engagement if the two major gears aren't perfectly lined up. The collar is spring loaded and will slip over the two of them only when they're lined up. Often, when I'm stopped, even moving a tiny bit straight ahead won't engage them, and I need a slight turn to get RELATIVE movement between the two gears to let the collar slide on.
Here's the two gears with the collar in the DISENGAGED position, showing a slight misalignment.
Here's the collar in position to lock the two gears together, with the shift fork pushed upwards. In the vehicle, up would be INWARDS, towards the driver's side. The front axle actuator pushes on the right side of the shift fork to accomplish the task
For more reading: Offroadtb.com Front Axle 4WD Disconnect
4LO gives you a 2.7-to-1 gear ratio advantage, but as you discovered, no improvement in traction.
As to changing modes on the fly - you can go from 2HI->A4WD at any speed, but it's usually not a reasonable thing to do. James Downing was the first to post an analysis that convinced me - but it's subtle. In 2HI, the transfer case isn't spinning the front driveshaft (from the transfer case to the front differential). So the driver's wheel is turning the CV shaft which is turning the end gear. In this drawing, which isn't specifically our unit, let's say the driver's side is at the right.
View attachment 1869
If the pinion isn't moving, neither is the ring gear, and neither is the differential "case" or otherwise known as the carrier. So the spinning end gear will spin the spider gears it touches, and that ends up driving the opposite side (left in the picture) intermediate shaft BACKWARDS. So if you're rolling at 55 MPH, I did the math once, and IIRC the tires are spinning about 600 RPM. So when you engage the front axle actuator, the collar is going to be spinning at 600 RPM on one of the disconnect's gears, and you're asking it to slide over a gear connected to the intermediate shaft spinning 600 RPM the other direction, and it has to stop the spinning mass of the intermedate shaft and its end gear, spider gears, and start to spin the differential carrier, ring gear, pinion gear, and front driveshaft up to speed, at the same time the transfer case is engaging its clutches to help this process. You're putting some unknown amount of stress on the splined disconnect for no purpose. So I recommend not engaging the system while moving fast.