When you go around a corner the rear wheels cut the corner a little compared to the fronts - in other words the rear drive shaft rotates at lower rpm than front drive shaft on corners. On hard surfaces (high traction) this will cause problems in the t/case components connecting front and rear outputs. Any constant 4wd needs some way to allow for this.
Some 80 series Landcruisers have constant 4wd (option). I don't have a good knowledge of these, but have been in them off road. I believe they don't have a separate diff lock lever like Land Rovers, but they lock when put into low range - I don't think they can be locked in high range. These models don't have free wheel hubs.
As others have said, if the centre diff is not locked and traction is lost at one tyre (most often a front), there will be no drive to the other 3 wheels. If the wheel is spinning for long and fast, the centre diff will suffer damage/wear, possibly leading to failure. The best advice is to always lock the centre diff off road when a tyre may loose traction.
Locking the centre diff is easy peasie and should not cloud your assesment of different vehicles (unless you are unfortunate enough to have one of the disco 2's that came with none).
Some rangies (and other constant 4wd/AWD vehicles) have a viscous coupling in place of a centre diff - no manual locking with viscous couplings.
