Putting a locker into the truck only ties the left and right sides of an axle together so both tires have power. It does nothing to engage the front drive shaft (ie turn on the 4x4 function). If you take a little time to read through the first few posts on the brown wire mod (BWM), it shows how the 4wd system works.
http://www.explorerforum.com/forums/showthread.php?t=149388
So lets start at the beginning and work through the steps the truck normally takes to engage 4x4 and look for the problem. First and foremost check all your fuses. Since we are dealing with an electronic system, a blown fuse could be stopping the entire process. Once that checks out and still no 4x4, then move on to next step.
The switch itself appeared to work. The mechanic did tell you there was something happening under the truck, but the system did not engage.
To get 4x4 there needs to be 2 things: 1. the center axle disconnect (CAD - the vacuum powered solenoids) has to engage the half-axles with the spider gears in the front differential 2. the electronic clutch has to be powered by the GEM.
Probably the quickest and easiest way to test the 4x4 would be to power the electronic clutch using the brown wire mod instructions. That will force the clutch to engage, which will lock the front and rear drive shafts together. If both shafts do not turn with power applied, then the clutch or the wiring to it is faulty and needs repair. If both shafts turn, then check the front axle.
With the selector switch in either 4x4 mode, the CAD solenoids should be engaged. Since we have power to both drive shafts, the front axles will turn if the CAD is on. If drive shaft turns but the wheels do not, then need to check for power at the plugs, then inspect for vacuum leaks or faulty solenoids. Vacuum line and the solenoids themselves are reasonably priced. Replacement is fairly straight forward.
Once you get the CAD working and the electronic clutch engaged, the truck will be in 4x4. You can add a switch and run as BWM manually controlled 4x4. Problem basically solved.
Or, if you want to continue forward to get back to original operation then it's time to disconnect the secondary power source from the brown wire. We know the electronic clutch and associated wiring are good, as are the CAD components. Let the truck attempt to engage the 4x4 by itself from the switch. If 4x4 does not work at this point, then will have to delve into possible issue with the GEM, torque module, or the speed sensors.