"Hurt" anything, vs needlessly wear are different. Sure, the front wheel drive components will keep working (they are robust) but needlessly running in 4WD is wearing the whole front drive for no need. It may also tear up your lawn at one front wheel. I run 4WD only when needed. To the point that when using it for improved loader traction, I'll switch in an out every time I dump a bucket.
4WD systems can be very different. Sure, all drive all four wheels, when in use, but how they do it varies. Before I retired as a firefighter, I did truck training. After some review, I came to fine that each of our four 4WD trucks had a different system, and required specific training. For my experience, compact tractors have a front and rear differential (the rear can generally be locked). They do not have a center differential - that being between the driveshafts which go front and rear. If tractors had this, it would have to be locked sometimes too, and would be adding complexity for no benefit. The result of not having a center differential is that during a turn, one front wheel will scrub relative to the rear wheels in a turn - it's mechanically inescapable.
The Audi Quatto I used to own, was a mechanical wonder in this regard. It was full time four wheel drive, with three differentials, so each wheel could find it's comfort zone. You could lock the rear and center differential for improved traction. You could not lock the front differential, probably because steering would become very difficult. If you dove on a hard surface road with the diffs locked, the car would track really straight, and buck when you tried to corner. But the traction was so good that way, that I'd use the Audi to pull out my Jeep CJ-7 plow truck when I got it stuck. The Jeep did not have diff lock, so it'd spin one front, and the opposing rear wheel, and you were stuck.
Understand your system and read your manual, but for myself, I only use 4WD when it's needed, and never when it's not.