I have an '06 Rubi. You can't (from the factory) lock the diffs. unless you're in 4-lo. When in 4-lo, one push down on the diff. lock switch locks the rear diff....subsequent pressing DOWN toggles the front diff. lock on and off while the rear diff. remains locked. Pull up on the switch and both diffs. unlock.
The LOCK lights will flash once the switch is pressed down, and will continue to flash until the diff. is locked...once a diff is locked, the light comes on solid. Mine generally do not engage immediately...they generally take a few seconds, but I believe this is normal. The flashing LOCK lights do NOT indicate a problem, just that they haven't locked yet (unless, of course, they never stop flashing, then there is likely a problem somewhere).
Personally, I don't recommend using 4 wheel drive on pavement at all.
However, the diff. locker does not know if you're on pavement or not, so they'll lock regardless. But...when on pavement, since the transfer case is not a differential, the front and rear drive shafts will need to spin at different speeds when turning, as well as the left and right wheels. So, 4 wheel drive (hi or lo) on a surface were the tires can't slip/slide a bit (like pavement) will cause tires to drag/push on the pavement, causing some stress on the driveline. It would be worse with the diffs locked.
Just my two cents.