Usually manual will tell you 'Park.' when connected to a transfer case. If you leave it in neutral (neturel) there is a chance that friction in the drive train could cause a slow rotation of the output shaft on the transmission, which isn't being lubed by running engine. A very faint chance of damage, in my opinion, but non-the-less, follow recommendations of your owner's manual.
Bob & Donna
'98 Gulf Stream Sun Voyager DP being pushed by a '00 Beetle TDI