If you have electronic 4x4 and the lights indicate the 4x4 is off then 4x4 is off. (The front drive axles are no longer powered). The steering will still feel heavy like 4x4 is on, but that is just the drag of the front axles shafts rotating because they are still connected to the wheels via the Automatic locking hubs.
The situation you are describing is the normal way in which autohubs lock and unlock. Reversing direction for several feet (with 4x4 off) will cause Autohubs to unlock. If 4x4 is on and you reverse direction the hubs will unlock then re-lock in the opposite direction. This is normal, you can drive with the hubs locked (and 4x4 off) without any issues other than slightly less mpg due to the additional drag on the drive line..