Unless you engage the 4WD lever your tractor is one wheel drive. It could be either of the rears and can go from one side to the other in slippery conditions.
If the 4WD lever is engaged you have two wheel drive (one front, one rear).
To get three wheel drive the differential lock has to be engaged. It is a lever near your heel on one side of the floorboard or the other. It is usually on the non-HST pedal side.
When the lock is engaged then both rear wheels will rotate together. Test the lock by lifting the rear end with a floor jack, be out of 4WD, and block the front tires.
With the engine off rotate one tire, the other tire should rotate the opposite way with the lock off. If you can have someone or somehow engage the lock the tires should rotate the same way.
With the engine on and HST engaged without the lock the rears should rotate one at a time. With the lock engaged both should rotate. If not, then something is damaged.
Oh, and you'll never get true 4WD without an auto front locker. It only comes on larger Kubotas starting with the M7040.