Where do I start trouble shooting the issue below.

As far as the 4wd light, there is a switch on the transfer case that needs checked. The lamp out indicator is a good question. Make sure there are no lights (front signal / parking lights) that don't have two bulbs in place and only one is burned out. It will look normal, but actually one of the bulbs can be out. I know on the dakota, there are two front signal bulbs in each light. One can work (and it looks normal) and the other is burned out and you can't tell.