Four wheel drive in cold

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There are several sensors that operate this system. This can be diagnosed easy at a trans shop. Usually it cost little or is free.

Check your u joints next jack up front end see if you hear it in the hubs .now we are in to front ring gear might be broken if you pull inspection plate you can see damage if broke . It might be good to have a shop check it if you don't find it . It can get costly just installing parts. Please rate my help

Is it both front wheels or just one? This will help work out where the problem is. If it is just one wheel, the problem is between the wheel and the front Differential (Diff).
(The fat bit in the middle of the front axle).
If it is both wheels, the problem is the Diff itself OR further back up the system. Parts like the drive shafts, linkages and the centre transfer box. Go see a good 4 wheel drive specialist. That'll be the easiest way to sort it out.

Actuator on front axle not working or unplugged ,,

I doubt it.
Did you check the computers for trouble codes ?

driving in 4wd on hard surfaces produces what is known as torque wind up as the wheels cannot slip so the variations of distance going around corners , dips in the road etc place considerable strain on the transmission , transfer case , drive lines and diffs
that is why it is difficult to get out of 4wd unless you drive with 2 wheels on a grass verge to relieve that torque wind up
as for the noise check wheel bearings and the cv ("U") joint at that wheel as there appears a proble where the dog teeth in the hub are not engaging properly or are jumping out of engagement

check rear tires, wheels.

go to kragen or any other local auto parts store and buy the repair manual for your car it should have the diagram and everything else you need to know about your car there very handy to have

google it. 2004 Chevrolet Colorado brake sensor or brake diagram.