I engage the CDL in the RR on all loose surfaces. Say you're travelling fast on loose gravel and into a turn a wheel spins out (either air-bourne, or in a bull dust hole etc) Without the CDL that's all your traction momentarily lost! That means your control of the vehicle. Land Rover recommend you use it on all loose surfaces, and I find that makes sense.
Disengaging it takes a little effort, so it's worth wiring in the light, as the light will let you know when it's been disengaged. When I drove Land Cruisers in the snow, I found their transmission wound up very quickly, and coming off a snow track onto a sealed road, I had to give the accelrator a light tap to induce some wheel spin as I slid the t/case back into 2WD. I use a similar technique with the RR, as I pull back onto the bitumen I leave the LHS wheels on the loose edge of the road, hit the accelerator slightly and disengage the CDL.
Leaving it engaged on a sealed twisty mountain road could wind your transmission up pretty quickly. I've heard of a L/Cruiser that was driven off Mt Buller with the CDL engaged, then onto Mansfield - by which time the transmission was wrecked. - Another good reason to wire in the light.
