You should not use 4X4 on a hard surface. If you are on mud, dirt, gravel -- anything that will allow your wheels some slippage -- you are ok.
As you have found, you are ok using 4X4 on a hard surface as long as you don't turn the steering wheel. This is normal and it sounds like your truck is working as it should.
I use my Ranger to pull my boat out of the water, and like yours, mine won't pull it out in 2hi either. I use 4low to get to the top of the ramp but then I put it in 2hi.
This is the difference between four-wheel-drive and all-wheel-drive. With AWD it stays engaged all the time, but there is a mechanism in the driveline which allows for slippage between the front and rear drivelines, so you don't get the binding and bucking.