Is your inside cooling or heating features blowing to the defrost settings because if it is you have a ESOF leak. The most common are the hoses going to your hubs. Its the hoses on the front end in the wheel well connected by a clip with your ABS and brake lines. If they get cracked or brittle you'll get a leak. If thats the problem replace those, very inexpensive. Next I would say your motor on the transfer case, might not be engaging.
With not getting any lights or anything else. I would start with fuses and work from there. If it was vacuum lines going to the hubs, it would still shift into 4WD just fine, but your front hubs would not lock. All of the lights would still work perfect.
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