Neither 4Hi nor 4Lo were designed with paved roads in mind. Both are "part-time" 4x4 systems meant for offroad use or on roads covered in snow or ice. Wet roads like you were driving on have too much traction which caused the feeling you noticed... the front and rear tires were "fighting" each other during your turns.
The reason is that both 4x4 modes completely lock-step the front and rear axles together so the tires at the front and rear are forced to turn at the same rpms... bad during turns because the front tires need to turn faster than the rear tires do during a turn.
Leave 4x4 for offroad or roads completely covered in snow or ice. Only full-time 4x4 systems like are available in Cherokees, Liberties, Grand Cherokees, etc. are suitable for use anytime anywhere including wet roads. A full-time 4x4 system allows for differentiation (different rpms) between the front and rear axles.