OK, I had it hooked up to a GM scan tool but once again no error codes showed. I'm leaning toward a transfer case actuator or a transfer case control module?

 

Did you ever find a solution to your problem. I have a 2004 doing the same thing.

 

Yes, I fixed the problem. It turned out to be the TCCM (transfer case control module) behind the vent on the left side of the dash. It took about 30 minutes to fix. It's a tight fit but we got it. I got mine from Napa for $200 and if you bought the Napa bag for .99cents you got 20% off, so I really paid around $160. Good luck.