Many axles use a limited slip diff to limit torque that can be sent to one wheel. For example if you have one tire on ice and the other on dry concrete, you could potentially send 100% of available torque to the tire with traction. This might be good for you, but not for the axle which is designed to send 50% to each tire. Gleason Gear Works developed the Torsen differential, a combination of TORque SENse, that will limit the amount of torque to about 70 - 80% of available torque before it stops transmitting torque to the wheel with traction. Detroit also developed their Trutrac differential for customers who were using Detroit Lockers (100% locking) and breaking axle shafts, gears, etc. I am sure there are others but these are 2 with which I am familiar. The product for which I was responsible used a Detroit Locker in its New Holland axle and we started blowing planetary reducers as we asked more from the axle. We ended up changing to the Trutrac until we could get a stronger axle for the next generation. All of the machines I have driven with a diff lock have taken a good deal of effort to keep them locked because the axle will not last long with the potential of one wheel transmitting all the torque.
If you are doing something like pulling a plow at 5 mph, the transmission will see the same load whether you are in 2wd or 4wd. The rear axle, however, will love you for being in 4wd because part of the torque to the ground is transmitted by the front axle so although the transmission sees the same load, the axle load is reduced. In addition your ground speed will generally increased due to reduced tire slippage. I can really notice this on my cousin's 150 HP JD which has a 3 position rocker switch - 4wd off, on, or auto (senses wheel slip and automatically engages the fronts as needed). Pulling a 30 foot cultivator, I can notice it speed up when I switch from 2wd to 4wd and I assume it is mostly due to reduced slippage. However, I also see a slight bump up in engine speed like it is easier for the tractor to pull the load. My first thought would have been that I would see more power transmission loss due to transmitting power through additional gears. The auto position on that tractor is nice for people who forget to turn 4wd off when the hit the asphalt, but I found manual 4wd is better all the time in the field except for baling where traction isn't so important.