You're not by chance touching the brakes at all?
Some modes flick them into 2WD when a single brake is applied, or vice cersa, they engage 4WD when the brakes are applied.
Try touching the brakes while it's doing it if you're not already.
I vaguely remember a tractor I drove once that would flick into 2WD when the 3pt linkage was raised, it was setup for plowing so allowed a tight turn on the headlands when the implement was raised. Would've been a JD though.
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