I'm pretty sure the FEH/MMH has an "intelligent 4wd" system which is activated when the computer senses wheel slip (probably via the ABS sensors in the front wheels). There should be a light on the left side of the instrument cluster that says 4x4 (I think it's three up from the bottom).

Check the owners manual as I'm sure it's listed there along with a short description of how the 4wd system functions.

I also believe there is an XGauge you can put in for the SGII that will tell you if the 4wd is active (if you have an updated SG with XGauge capability).