This a symptom of improper tire/wheel sizing. Without the proper amount of overrun you transmission will bind and can be destroyed if not addressed. Not saying that's what your problem is but worth exploring. Excessive wear on the fronts can lead to this as well.
While incorrect tire size ratio's will cause driveline binding, that isn't the most common cause. The front tires turn left and right, the rears do not. So, when in 4WD and turning, the front tires travel a different arc than the rears, causing the driveline to bind up. Simply put, driving the opposite direction for a short distance will unwind that tension enough to disengage, as will lifting the front tires off the ground with the loader, or turning left and right while moving. The most common, and effective, practice is to reverse direction while disengaging until it goes out.
Every 4WD machine will do, to one degree or another. So, it isn't likely that you have a mechanical issue with your tractor; it is a manner of operation.