Henk,
What you are experiencing is quite normal and due to the centre diff locking the rear axle wheels to the same speed as the front axle wheels. When you turn there is a diffrence in distance to be travelled by the front and rear axle. When locked in 4HLc 4LLc the centre diff engages and this causes some wheels to scrub on the surface in order to maintain the same speed as the other axle. It does feel like braking.