The center diff lock is like a front or rear diff lock, in that it splits power 50/50 between the front/rear ends. In a differential lock, it's unwise to attempt to turn, because your diff gears will all spin at the same speed, and turning makes one side spin faster. In the center diff lock, when it's not being used for low-traction conditions, doesn't allow for a difference in power between front and rear diffs, which is required in in a lot of every day driving: mainly turning. Those drive shafts need to spin at different speeds to turn correctly, without extra stress on the drive train.
This explains it pretty well. Courtesy [MENTION=2798]JB.[/MENTION]
It's much better to put in neutral still, because on the fly, if the gears aren't completely synced, it will typically make a slight grinding sound when shifted on the fly,which grinding from a shift, no matter the type of shift, isn't good. Just because you CAN do it, doesn't mean you SHOULD.