4x4 question

I have a vibration in my 2003 FX4 f150,it feels like a bad u joint.I just had 2 new joints replaced in the rear which helped alot but still has a small vibration.Garage tells me my front axle isnt disengaging and the front driveshaft is allways turning.My question is is it supposed to turn all the time or not?I figgure it was because if it didn't i thought it would grind gears if you engage 4x4 while moving.Can somebody clear this up?

No its not supposed turn, unless it is in four high/four low. Look at your front axle, right under the oil pan, you will see a plastic cover, it redirects oil when you take your oil filter off, remove this cover, it has three screws, behind it is a vacuum pod that pulls/pushes a lever to engage/disengage the front axle. It should be in the 5:00 posistion(disengaged) If its the 6:00 posistion, its engaged.