The reason is because the transfer case locks the front and rear axles together, meaning each one's ring-gears spin at the same speed.
When you turn a corner, the front wheels make a wider arc than the back wheels (go do a few turns in a bit of snow/soft dirt (slowly), and you'll see what I mean.
Since the whole truck is going the same speed around the turn, but the front axle is farther away than the rear, it needs to spin faster. However, the t-case won't allow this.
It doesn't matter if you have open or locked axles, as the t-case itself is "spooled". Now, lockers do make it worse.
Essentially, if you do a tight turn on dry pavement in 4x4 (hi or lo), something must give. Usually it's the traction of your tires, and the fronts will chirp and jerk. The wheels will always want to straighten out, because to turn does some pretty bad things to the whole system.
If you do it often enough, the t-case chain will stretch, u-joints will fail, and you'll eat through tires REALLY FAST.
Now, in the soft-stuff (mud, sand, loose dirt, snow, ice), the fact that the drilve-line wants to go the same speed, but that the wheels need to go different speeds isn't much of a problem, as there's so little traction that something just spins or drags a bit. No harm done. Ever watch a fully-locked truck climb a hill of dirt? Everything just spinning the same speed, and the truck moving slower than the wheels are spinning (but not by much). This is what's happening when you're off-road, and why it's ok. You just don't have enough traction to break things.
BTW, don't spin tires really fast in 4hi/lo, if there's a good chance of suddenly gaining FULL traction. You'll break your axle, because the whole thing is spinning together. Even if you have open differentials (I know from experience).