No because for the 2002-2005 Explorer Ford came out with this "Brilliant" AKA "STUPID" Idea for a 4X4 Auto system.
When you are in 4X4 Auto, you are in 2WD, but if either of the rear wheels slips it will send a signal to the transfer case and send power to the front wheels and now your in 4Wd when you really shouldn't be. The 4X4 Auto system was a terrible idea, It's a PITA and puts unnecessary war on the truck.
Many of us have done a simple modification to our trucks called the "Brown Wire Mod" which interrupts the signal to the transfercase, shutting down the 4X4 Auto as well as 4X4 in general and we can simply turn it back on and now we have 4WD.
If you feel you will have the need for 4Wd at any point then I would get the problem fixed, if not then don't worry about it.