Nah it's fine! Even on dry dirt if you turn the wheel all the way you'll feel it trying to grind but in that situation the friction on the dirt isn't enough to grind gears, it just skips over the dirt, but on asphalt it may grind the gears. The problem is that when you put it in 4wd the front and rear axles have to rotate at the same speed and that isn't possible when they're at different angles on a surface that won't allow slipping. Essentially you should not put it in 4wd unless you're on a surface that will allow at least some wheel slip. Even if there's snow on the road, unless it's completely coating the road I wouldn't use 4wd, for instance if it's been plowed and there are dry pavement spots or ruts, I would avoid 4wd for fear of messing up differentials.
what you're describing is perfectly normal behavior, just don't do that again, haha.
Good luck!
PS: I don't think you screwed anything up if you only did that a little bit, so don't worry too much!