I may have had something like that happen before, but I'm not sure. Did you pull it out of 4WD, drive a bit to make sure it's all the way out, then try again? That usually solves any problems for me. You might also try stopping facing downhill a bit, and while stopped and in neutral, switch to 4LO. Roll down a bit to engage it and then put it in gear.
Also, don't know which direction you were rolling when you engaged it, but I can't seem to get it engaged/disengaged when rolling backwards, even though it worked when the salesman was showing me how it worked

That may have something to do with it?