mine started doing it lately, I blame it on the cold and humidity.
for me its when I release and start moving, not engage.
Its not unusual for any car, its just the brake sticking a bit.
I will mention it to the dealer next time, but it started doing it only recently (temps are -20).
its not the first car I have that does this, but it is the loudest. since this is my first awd, i'm thinking that the heat from the rear diff may be part of the "problem"