Just to clarify that I have done the correct things, I placed the blazer on a level area and did as instructed, placing it in neutral, engaging 4Hi, and then placing it in park to test the front passenger wheel. Said wheel did not lock in place. It moved freely in both directions.

 

Did I say put it in Neutral? No, I did not.
See number 4. Engage the 4HI from the dash.

 

Ah, ok. I was always told to place the vehicle in neutral when changing from 2 to 4. I'll check again and report my findings.

 

The only time to do that is when you go into 4LO. You can shift into 4HI from any gear.

Since you have to start your vehicle in PARK, after you start it up, then push the button for 4HI. Done.
This does two things, one is apply vacuum to the front axle disconnect and two, shifts the encoder motor into 4HI so you can check the 4WD front the Right Front Wheel..

 

While I haven't tested the 4wd yet due to poor weather, I did try to use it to get out of some mud earlier. It did not engage, and as I used reverse it sounded as though something was banging around under the front passenger side, both in 4hi and 4lo. When the weather is nice I'll try testing again.

 

Could be the shift collar is not fully engaging its collar between the drive gear and driven gear.
Do the test above and report back as to your answer.