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That's ridiculous.

However, you will break things on pavement if you drive around in 4WD. All 4 tires want to turn different speeds around corners, and the drivetrain won't permit this. Usually tires slip before something breaks from the binding, but not always. And it's hard on everything.

Don't do it unless pavement is no longer a high-traction surface (ie ice, snow, etc) - then you're fine.