I have never had an issue with my 4lo. I probably got lucky and had someone exercise the actuator often; which I continue to do.
1. You were in N with Brake engaged?
If so, then it would appear it is stuck. I have heard success stories of people who will put the parking brake on; in N; have some on the brake and engage 4 lo.
You will hear the electrical noise of the actuator trying to engage. A light rubber mallet, tapping the transfer case where the noise is at can sometimes un stick it.
Try it a bunch. If it is too far seized, it may need to be replaced. If you do get it unstuck. You should exercise it often and a bunch of times to get it lubricated and free.