Those two vacuum lines on the front diff connect to the vacuum shift motor. That motor is the Center Axle Disconnect. The vacuum lines go to the Electronic Vacuum Control Module that you mentioned is next to the relay box.
I'm finding it's nearly impossible to find good info on the net about the 95s. Worse is most of the time the info seems to be wrong.
I've also spent the last two hours trying to find a 95 Owner's Manual, no luck, the oldest I could find was for a 96 from the Ford Fleet website. In a 96 the box under the air filter box is the Engine Compartment Relay Module #2 containing two relays for the heater blower, washer pump relay, and the fog lamp relay. Nothing related to 4WD though so I don't know what you're hearing pop when you switch to 4Hi. Is it possible you're hearing the Electronic Vacuum Control Module switching vacuum to the Centre Axle Disconnect vacuum motor??
The manual for my 99 doesn't even show that box but I know it's there. I found it by accident when I wasn't getting power to my blower motor and resorted to tracing wires.