Can you check your owners manual to see if the 4WD light is an indicator of other issues (other than 4WD)? Does it blink at all before it stays on? Manufactures are using dash lights and blink codes to indicate a problem. E.g. last month, my Honda Rancher had the 4WD light blink 4 times. I looked it up and it's a voltage problem. Had a bad voltage regulator.
My neighbor's tractor had a similar issue as yours but it was on the backhoe (that shares the hydraulics) His ended up being a bad, warn out O-ring in cyclic control valve.