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You know that you shouldn't run in 4x4 on dry roads, right? When you're on snow/dirt the tires can slip when you corner (and even in a straight line, because the tires may not be the exact same diameter, and the gears may be slightly different), but on dry roads you put a lot of stress on the drivetrain in 4x4 with locked in hubs.
Yes thats a good thing that it jerks when in 4-wheel drive when cornering, that means it's working. Tight turns are hard on it in the dry, gradual turns aren't so bad. If the roads are slick, by all means use it, thats what you got it for. If it's dry out, play with it in the yard or in a feild or something so tires can have some slipage, gravel roads work great if you want to test the 4x4 system. But if it doesn't jerk, then you have a problem.