Both 4 wheel drives are for situations where you have poor traction - either snowy, icy, VERY wet roads or off-road situations.
4 Lo is for when you need a lot of torque at low speed. This would be extremely steep hills, extremely rough off-road conditions - basically conditions where you're not going to go more than 20 mph anyway.
You don't want to use either 4-wheel system on dry pavement. In 4-wheel drive, both axles will spin at the same speed. Unfortunately, it's impossible to get two axles and four tires the exact same size. If there's a 100th of an inch difference, after a 1000 rpm, the larger tire/axle combination should have travelled an 1 1/2 inches further than the smaller tire/axle combination. Since both are attached to the same vehicle, it can't. That means one of your axles winds up like a spring until the tension can be released by forcing the tire to slip or by trashing the axle or transfer case.
In conditions where you know your tires are going to slip (which is why you put it into 4-wheel drive in the first place), there's no problem. On dry pavement, it's hard to make the tires slip, but they will eventually (hopefully), causing excessive tire wear. Do that enough and the accumulated stress on the axles and transfer case will cause them to fail sooner.
In other words, it's kind of like smoking. It's not a matter of smoke more than 2 packs today and you die. It's that each cigarette shortens your life expectancy by some small amount.