Wherefore art thou BobMurphy
You rang ??
Well . . . . Locking the Centre Diff locks the input shaft to the output shaft that drives the rear propshaft, as well as locking the Differential's outer drum (Anulus) to those shafts.
The drive is now straight through to the rear propshaft.
This means that the drive to the front propshaft, via the Hi-Vo chain, has to rotate with the Anulus as its Planet Gears are trying to run on two different tracks - the outer having many more teeth than the inner - and the Planet Carrier therefore locks-up.
This would indicate that the 'clunk' is coming from the Centre Differential and the drive to the propshafts, though its more likely to be coming from the front propshaft as it has the chain drive. There may be play in the differential owing to the needle rollers in the Planet Gears being worn giving slack in the mechanism but I would think a bit of slack in the chain is the most likely culprit.
I think there is always going to be some slack in the transmission as there are a great many bits in the process. With the Centre Differential 'open' the front and rear propshafts are in opposition - turn one and the other tries to turn backwards. It is only the fact that all four wheels are on the ground and therefore providing equal resistance to rotation that allows the whole differential to turn as one. When engaging drive, all this has to "tighten up" and taking up the slack produces noise.
I wouldn't be too concerned unless the chain drive is skipping on the sprocket teeth, giving a really loud 'clunk' and a momentary loss of drive.
I have a Transfer Box in the workshop at the moment that is doing that. I haven't started stripping it yet but it will be interesting to see what's wrong as it isn't very long ago that I put a new chain in and replaced all the bearings. I don't know what the owner has been doing to it but it has been used fairly hard off road in the Pentland Hills as his wife's family are Hill Farmers.
On that one the chain still skips with the Centre Diff locked . . . So your problem isn't that

.
Bob.