I second that, my new 2410 and my BX also have had the lock stick. It occured when the BX was brand new and the 2410 only 13 hours and it stuck twice--briefly. I think your problem was a new tractor and a new operator.
I don't know about all this 2WD/4WD only with the wheels straight ahead etc. I just mash the pedal down when I need extra traction. I let the wheels stop spinning--but I may still be moving, step on the pedal and go, Yeah, being in 4WD and turning the wheel to manuver does put strain on the drive train but 1. it's a tractor--it should handle it 2. It is on dirt, mud, loose soil, snow(?) etc so there is plenty of oportunity for the drive train to slip enough that damaging levels of force will not occur. On concrete--no---why use the diff lock on firm ground anyway?
I bet once it get's some hours on it the problem will go away. I believe it is normal to have it stick occasionally and have to back or rock the tractor or remove from 4WD to let the drive train relax the pressure to let the lock collar move freely.
J