I may be mistaken, since I don't have your vehicle in front of me or one to refer to, but in general for Tacomas and 4Runners, the wheels are always locked to the axles so what you are seeing is normal. The engagment of the 4WD occurs in the differential and the transfer case, not outboard at the wheels. This is called the ADD system.
The ADD system (if that is what your vehicle has) uses manifold vacuum to lock and unlock the axles to the propellor (drive) shaft which runs from the front differential to the transfer case. There would be a vacuum actuator on the differential with rubber vacuum lines running to it from a control module in the engine compartment.
In 2WD mode, the propellor shaft is disconnected from the transfer case and from the front differential. When you shift into 4WD mode, the transfer case locks the front propellor shaft to the transmission output and the ADD actuator gets vacuum from the intake manifold and locks the front axles to the front propellor shaft.
If this is your set up, in 2WD, you should be able to go underneath the truck and turn the front propellor shaft by hand, easily. If something is locking your front axles to your propellor shaft, the propellor shaft won't turn without turning the wheels.