In the simplest terms possible... the load must be taken off the driveline in order for transfer case gears to disengage. That means that 4hi will still be engaged until you coast for awhile. Sometimes it takes awhile depending on driving.

It's not "instant off" Also not something to worry about, unless of course you're shifting from 2wd-->4hi-->2wd all while accelerating/mashing on the gas.

Why is this whole 4wd thing some complex for some people? After all, we did get a manual with our X, there's also a very large faq on this whole topic...