I have just had a similar problem so try this. It is also normal that the axle locks require the CDL to be working before they engage.
To engage CDL either go in to Low ratio or if fitted press CDL switch.
It may not come on straight away and it is preferable to do this on a loose surface.
Drive slowly in an arc or perhaps wiggle the steering.
A note just because the lights are not indicating does not mean the CDL is not working so you need to investigate this. I did this by putting the 80 into a cross axle situation so that the vehicle progress was halted and with the CDL switch on or in low Ratio. If only one wheel is slipping this will indicate the CDL is not engaged however if a wheel on the font axle is accompanied with a wheel from the back axle and they are both slipping with no progress then CDL is working.
If the CDL and ABS indicators doe not illuminate on the dash, then with the ignition on but the engine not running, flick the CDL switch or put into low ratio a clicking from the foot well should be heard each time both on and off.
If clicking can be heard and no indicator lights then have an assistant switch the CDL switch or put into Low ratio with the engine off but ignition on while you get under the 80 by the transfer box and listen, a distinct wearing sound should be heard as the actuator goes in an out.
If the actuator appears to be running then check the indicator switch located at the top right hand side of the transfer box not the one that is easily seen at the back of the box, Remove the switch and push the ball in and out to activate while checking for continuity with a meter. Replace if not working as it is vital.
If the CLL actuator is not operating check all connections and fuses then remove and investigate further.
There are a few recent threads covering this but that is enough for now so come back and let us know how you are getting on.

Good luck