My understanding is the hubs are vacuum actuated. There are vacuum lines running into the hub for this purpose. The when you engage the transfer case a vacuum signal locks the hubs. I could be mistaken, but believe this to be correct. At least on the new body style 04 (not the classic, not sure what those have).
The driveshaft may rotate due to gear lube pushing it.
I have a Jeep YJ with a central axle disconnect - on that style system, one axle shaft disconnects, so 1 axle and the driveshaft are always driven... stupid set up.