The saying goes, the only silly question is the one that doesn't get asked...
I am going to assume you mean the front diff and that you have the front freewheeling hubs in the locked position when doing this?
I would highly recommended NOT doing it again, as you will either stretch the transfer case chain or break something else. The reason you got the feeling you did is because when the transfer case is in the 4x4 position (either high or low) with the front hubs locked, the front and rear diffs turn at the same speed. When you are turning, the front and rear wheels need to turn at different speeds, simply because of the different distances they need to travel to complete the turn. On a loose surface, you don't feel much at all because the wheels with less grip just slip and the vehicle carries on. When the wheels have grip, they try and turn at different speeds, but because they are being forced to turn at the same speed you either get a big bang when something breaks or the feeling you got as the wheels are trying to turn at the same speed...
I hope that makes sense..
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