I noticed mine makes a whining noise when in 4WD also.
Is it normal ?
That depends on the 'type' of 4wd. In the SSVs the transfer case actually locks the front and rear axle together. The gear ratio in the front and rear axle are not the same, on purpose, so it bites/grabs the surface, snow. (else you'd be driving like a deer walks on ice). Because of the difference in gear ratio, there is a bit more pressure on the front gears (that's why you're not supposed to use it on paved surfaces, when there's no snow, ice etc), it wears the ring and pinion out and puts stress on the transfercase gears.
My 79 CJ has a transfer case and does that (used to hace a T18, now has a Dana 300), I used to have a 1996 Grand Cherokee, with a command trac transfer case, which does that too. The Grand Cherokee I have now doesn't, it has a "differential" in the transfer case, to make up for the binding (but less grabbing).
So yes, it's normal, especially on paved surfaces. Also, if you have a "locking" transfer case (that locks front and rear together) it will be hard to make tight turns, especially on hard/paved surfaces, and for sure while backing up (because of difference in the angles on the front and rear on the ring/pinion teeth). (In a tight turn, the front wheel on the opposite side of the turn has a longer way to travel, so there is a lot more resistance, on that side, compared to the other wheels in the turn, so the front axle wants to turn a lot more than the rear axle, and since they are locked together, "bind".
These types of transfer cases perform a lot better in off road and snow conditions, the front and rear axle both keep turning at about the same rate because they are locked together. When you have an all wheel drive (without any limited slip, lockers etc.) and you put the rear end on ice, and the front on pavement, the rear starts spinning, but the front doesn't do much. It works the same as the differential in an axle, the wheel with less the friction/resistance wants to spin the most. If the wheel on one side of an axle is off the ground, that's the one that wants to spin.
or long story short, yes it's normal.
Ron