only time i go to 4-lo is either
a) im really stuck
b) ***** and giggles
and it's usually the latter.
it was fine for you to go into 4-hi while it was raining. i do that sometimes too, but only when im mostly going straight. Sometimes rain isnt slick enough, and thus when you make turns (like in your case) it binds it up.
now difference between a 4x4 and AWD is that AWD (like the selec-trac or as some call it 4 Full-time) each wheel can spin at different speeds as opposed to 4x4 systems, where it pretty much just makes all 4 wheels spin at the same speed...which is why you need some slip when in 4-hi...
living in the NE too, i usually shift into 4-hi, when there's quite a bit of snow/slush on the road (in other words if it hasnt been plowed yet) or if im trying to get out of my driveway, or parking in spots where there is snow in the way. as for the rain, hardly ever, only if i really feel uncomfortable about it. (w/ the new tires, i feel a bit more confident than w/ the stock good years)
as far as how fast....like what someone else mentioned before...i dont think it's a good idea going well past 50 or so if u need to be in 4-hi
(sure you may have a bit more grip than in 2wd, but it also doesnt mean that you can go speeding past everyone else. if the tires cant get traction, 4-hi or not, ur gonna go somwhere you dont want to...)
ice is ice...hi, lo....ur just gonna be slipping...all over :-s
as for what happened to you...it's normal...i've binded mine a few times..(playing around, and forgetting to shift back to 2-hi) just dont do it too often, and dont force it if it binds like that...ur bound to break someting...
oh yeah..if u find urself plowed in a spot...thats when 4-lo usually comes in handy....in some cases, u can just leave it in idle, and it will jsut pull iteslf out..literally...(now thats fun to do....especially w/ other SUV's and their owners digging themselves out...LoL)