Not normal to stay on. It does that to tell you that you're doing it wrong or there is a problem with the system
and 4lo is not engaged. It needs to be stopped, foot on the brake and placed in neutral to engage 4lo. The lights and beeping should stop when it is engaged. If not, try moving forward/back a bit to align the gears. If it continues after several attempts it is a problem with the system and you should take it back.