@Djeep It's just locking the rear breaks if you need to make a really sharp turn. The sound is just the breaks (they're going to slip a little).
All the comments mention this is how the Ford should work. It's also known as a "cutting break." Seems like it would be more useful on a stick shift though, to prevent stalling.
Also, you wouldn't ever take a F250 off road. Way too fucking heavy. My Tacoma doesn't have a cutting break, but I do have locking rear diffs.