Engaged 4WD and a knocking noise started from the rear of the truck?
First off, you would not be the first person to have the locker engaged and not know it. Check that first to be absolutely sure. Just push in on the knob and check the display to make sure.
Only time I have heard of something like this, it turned out to be a faulty transfer case.
You are at 1500 miles, so just go to your dealer and have them diagnose it.
If you wanted to diagnose it yourself, a good first step would be to check if both front and rear drive shafts are rotating in 4WD,