You haven't done anything "risky" by the sound of it to really worry about damage to the lockers. If working properly, NO, they should not engage or disengage momentarily for any reason-unless you hit the switch again to disengage them. Once locked, they stay locked till shut off.
Explaining "clunks" or sounds can be very difficult on a forum like this as everyone interprets things their own way and the keyboard is tough to explain sounds. You said you've already checked all the shafts, joints, etc. and they all appear OK. Can you provide more details as to your specific suspension setup, build of the rig, etc.? There are many suspension components that can do this as well if not tightened properly. Some of which though SHOULD show up as other driving irregularities that would lead or cause adverse behaviors on the street. Some of which could be as simple as old style shocks using bar pins where the shock responds to the terrain and slides on the bar pin or shaft with a "clunk" to one side or the other. There would be no real discernable driving or handling issue on the street however with maybe the exception of the "clunk" happening while hitting potholes or such, or speed bumps, curbs, etc. Track bar bolts loose at either the frame or the axle or a bad joint in there can also make these types of noises BUT you'd likely have a more severe driving condition on the street with wobbles/vibes etc. that you'd likely not be adventurous enough to wheel hard with until it was fixed.
What style of control arms do you have and how did you check the bushings? I ran MANY sets of stock take-off arms before upgrading to the Curries as they were cheap or free. Bushings would "appear" Ok while mounted in the brackets on the vehicle but once twisted by hand, you could feel excessive movement. Once removed from the vehicle, you could see something similar to dry rot in a tire, which spider webbing cracks coming out from the metal sleeve. On many of my sets, that steel sleeve would separate from the rubber, along with the cracked rubber surrounding. This would make noise in a "clunk" from from time to time depending on what was going on. Various other suspension joints can do the same if not greased or if worn badly.
Your swaybars can do the same thing if stock, on the upper joint especially but would be more noticeable in uneven terrain as opposed to flat ground. If working back and forth in snow though, moving the snow underneath you as you go may be enough to offset the terrain enough to warrant a "clunk" from the joints, tough to say.
Steering is another big one-while working back and forth, very easily could have stress to one side or the other depending on wheel traction yet when locked, creates a slightly tougher steering feel. You MAY or may NOT feel a worn end through the wheel, but could hear noises associated with such. If steering was bad, I think you'd have other issues to address as well that would have been noticed prior to your adventure in the snow.
Long story short-addressing sounds has MANY factors and variables and is tough to address. Best thing to do would be to crawl under your rig and thoroughly inspect each and every component you have on the front end and ensure everything is torqued and tight and in good repair. When done with the front, work your way through the drivelines to the back and finish up there. Having a friend turn the wheel while you watch/listen to the front end is a good idea as well. Don't be afraid of putting the rig on jack stands either, or lifting a tire and working the jack to check for loose/worn parts.
Not sure the mileage on your rig or when your fluids were changed but for peace of mind, you could very easily pull the covers and inspect both diff's. You'd know first hand then if you did have breakage issues inside the diff's that needed to be addressed. Once done, you'd also have fresh fluids and a good starting point for reference as to setting up your regular maintenance schedule and know when it needs done again.
One other thing to consider while in low range, my rig for instance just has slightly more driveline movement/slop I guess for lack of a better word. I get some noises or feelings in low range that aren't there any other time, due to the deeper gearing. This is or has not been a problem to date in over 5 years of hard useage both on the street and the trail, just typical driveline slop I guess for lack of better terms. Nothing to worry about. I have blown my factory rear locker early on and replaced it with an ARB. When it went, there was no question it was out-the grinding, severe jolting and jarring as the wheel turned and noises associated made no confusion that it was broke. Depending on the break, it may or may not be as evident. I'm inclined to think your noise is not the locker but either typical driveline slop you're not used to yet, or another front end component that is worn or loose.
Hope that helps or at least provides something to look at.
Best of Luck,