The cdl is vacuum operated, and sometimes takes a while to stop beeping.
I dont know if its always locked when beeping.
It might help to unload the diff, stop, go, reverse, etc, it wont unlock with force on it.
If its locked and you drive on dry roads, it MIGHT cause problems, but keep in mind, with it locked, you have ONE front, and ONE rear wheel providing drive, which is not like having all four wheels locked. The differentials can still switch between right and left wheels, so I dont think it is a big deal, but not the best thing you can do....
If its cold, the gear lube might be thick and slow the unlocking down....