It's also possible that it's engaging, but the sensor is not making contact, which will prevent the diff lock and ABS lights from coming on. Have you tried it on a higher traction surface to see if the driveline binds up?
I used one of these on a trip from TX to CA http://www.amazon.com/dp/B007WR25DY/?tag=ihco-20 Drove through a couple of moderate rainstorms and everything stayed dry. Also had a 15 gal Action Packer, which did not get any water inside. The Action Packer is lockable, although you need two locks...