azcummins,
This is pretty basic, so please don't think that I'm insulting your troubleshooting. It's just that some things can get overlooked, and we have some forum browsers who aren't as mechanical as others.
Are you SURE that 4WD works? The light on the dash is controlled from the front axle disconnect. If that doesn't shift, then the light won't come on. Shifting the transfer case into 4WD is the first step, but 4WD doesn't actually engage until the front axle engages via the vacuum shifter.
I know lots of drivers have had trouble with these front axle disconnects, so that may be your problem.
Just a suggestion.
Loren