Vibration at 4WD mode

[JOE58]

I have 2002 Grand cherokee Laredo with 50K. Last week I used 4WD full time
and noticed heavy vibration when I applied brakes. All front end was vibrating.
Almost like badly warped rotors. What I do not understand is that after I disengaged it, brakes went back to normal - no vibratin. Only happens at 4WD.
Any suggestons?

Thanks, Joe