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I'm having the same issue on my 2011 F250, I found on the internet, that this is most commonly caused by a vacuum leak, and to test if you have a vacuum leak affecting 4x4 mode, is to have your ac or heat on floor, select 4H, and if your ac or heat switches from floor to defrost on it's own, then you have a vacuum leak in your auto hub system.
I did not get this as a result of testing, so am looking elsewhere, there are 4 fuses I found labeled with something to do with 4x4, on mine they are all under the hood drivers side fuse box, Numbers 38, 39, and two others. I need to check those on mine when I get home tonight.
I have verified that I do indeed lock into 4x4 with manual locking of the hubs. Is this the same case with yours?
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