Well, I think 4wd is always on - I never shift the level to 2wd. However, the right fron and left rear tires were spinning freely in the snow/air, so the differential lock would have been the smart thing to do.
Also: For next time, I picked up a new double loop "recovery" strap and ordered a couple of clevis pins with metal chain loops attached - one for the drawbar position on the tractor and another for the CRV hitch (although the CRV hitch is rated at a measly 1000lbs while the bx24 weighs at least 1500lbs).