Driveline windup is the problem. There is torsional tension in the driveline between the front and rear wheels. That tension has to be relieve whether it's a UTV or one of our tractors. I have found that on my Kawasaki Mule, I can normally get 4wd to disengage by rolling backwards a few feet or turning the front wheels lock-to-lock. The other thing is to only engage 4wd for the time it is absolutely needed. Leaving the driveline in 4wd all the time will only contribute to driveline windup no matter what the brand of UTV.
The ideal way to engage/disengage 4wd would be to have a clutch in the middle of the driveline shaft, but I don't think most of us consider this worth the extra expense. On my tractor, I can lift my front wheels with the loader bucket and this relieves all the windup instantly, but we don't have that luxury on our UTVs.