If it is and ESOF Truck (Electronic Shift On the Fly) then yes it would have vacuum/manual lockouts.
If it does have ESOF and you change from 2 wheel to 4 wheel, or vice versa... does you HVAC switch to the defroster? That is a sure sign of a vacuum leak in the system.. in this case the hubs because it only happens when you shift it.
I've not had a SD with a 7.3 apart... but if I remember correctly, 99-07 parts cross.... but you will have the big vacuum seal, that almost looks like a sealed bearing, and an O-Ring.. plus the hose from the hub back into the engine bay.... To isolate, you could pull the hose off the hubs and temporarily plug them.. try the shift and see it the HVAC is effected. If not, it's in the hubs..... if so, it's in the lines to the engine bay
The way this type of hub works is a vacuum pulse.... think of a ball point pen... it sends a pulse that will lock them... and send a pulse to unlock them... just like clicking a pen.
Also.. what I would check first is make sure that someone hasn't manually locked the hubs. The ESOF lockouts have a hand knob to lock them in if the vacuum doesn't. Turn the knob the opposite way and see if they unlock. This part is just like the old manual lockouts you may be familiar with.. if the knob is turned to the lock position, they stay locked no matter what the vacuum is telling them to do...