Might want to put a little more description as to why you feel it seems to not be going into 4wd, otherwise the first suggestion will be to try moving the transfer case shift lever per the owner's manual instructions.
My initial thought would be to make sure the plug is plugged into the axel disconnect, but then on second thought it would’ve thrown a code and you didn’t mention any codes so unfortunately, I can’t help you.
when you shift the lever, can you feel it engage in the shift handle? And then putting into neutral when you’re barely rolling push it over to the right and all the way back. Were you able to put it in for low? I asked this because it’s a hard connection, meaning not electronic.
Service 4wd did pop up on the dash. It originally said it was in 4h but was not acting like there was any power going to the front wheels it happened a year ago and the dealership changed a control module but that’s all they gave me for a reason.
Since you're getting an error message on the cluster, get your codes read to see what fault is kicking out. You can also verify whether 4wd is engaging by moving the shifter into 4H, raise one front wheel off the ground, then see if you can spin that tire by hand or not -- with the front axle engaged the tire should not free spin.