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i had the same problem in my 02, and shift on the fly wouldnt work either, figured it was the pump, you should here the pump running when u first turn on the ignition. i replaced it, it changes the climate control but it still wont lock in my hubs so i think the stupid electrical chip thing under the dash is screwed.
i pulled the lins right before they go into the hub and theres no vacuum there, the solidnoid that open to let vacuum to the hubs isnt opening, it sits right beside the pump, so its not getting a signal to open when u turn the switch