Yes, it happens in 4HI as well, the only difference between 4HI and 4LO is the low gearbox. 4WD wasn't intended to be a full time system like in AWD vehicles. As long as the road is icy, snowy, gravel, or anything where a wheel may loose traction you don't have much to worry about, since when the wheel spins it will help release any tension that's building up. Is mostly just on pavement where it can be an issue since all the tires should have a good grip on that.
Also, since the tension is created by the wheels turning at different rates, if you're driving straight for a long time there's less tension actually built up in the drivetrain than you might imagine. As long as you're not on twisty or windy roads you're probably fine keeping it in 4HI for a while since the wheels are spinning at pretty much the same rate. Even then, switching back to 2WD occasionally when you know you don't need the power from the front wheels would be a good habit to get into, since that will let any tension out.
Also, I've heard you can start to feel the tension building up in the steering wheel when it's getting to much. I've yet to experience that though.