When you engage 4WD, the front driveshaft is connected, and power is sent to the front wheels. However, the front differential itself is an open differential. This means that it allows the front wheels to spin at different speeds. This is fine on pavement, but on uneven terrain (like one wheel in mud or on ice), the open differential will send power to the wheel with the least resistance, causing that wheel to spin while the other wheel remains stationary (resulting in being stuck).
Therefore, there's no "lock" to engage. The front axle is either fully engaged (4WD) or disengaged (2WD). To improve traction in low-traction situations with this type of system, you'd rely on techniques like momentum and tire choice, rather than a differential lock. Adding a limited-slip differential to the front axle is an aftermarket modification that could improve traction, but it’s not a standard feature.