Tractor: Front wheels lead (turn faster) so you are binding up the drivetrain and the front tires either slip or something lets go in the driveline.
Loader tractors used on concrete floors scraping alleys in barns that run in 4wd all the time tend to wear the front tires bald in a hurry.
You will feel the bind if you leave tractor in 4x4 on dry pavement.
The binding is considerably noticeable at faster speeds. Have an operator's manual for one tractor that clearly states not the use 4wd in higher gears.
I do a lot of road travel, hundreds of km a year, all in 2wd. Icy or snowy roads I will use 4wd if I need the traction.
Pickup Truck: Front wheels normally turn same speed as rears, you can drive as fast as you want, shift in and out of 4wd on the fly on most newer trucks. Try to turn a corner on dry pavement and you will feel it....