When I put it up on blocks the all wheels turn. When I put under a load (tried to pull another truck) the front wheels don't turn. The axles to the wheels are turning but not grabbing. I took the hub off and there is nothing broken. It looks like a fairly simple process (two gears and a spring). Is there an adjustment someplace that I'm missing?

 

The Sportage uses vacuum to activate the 4 wd lock. The lines could be plugged or the seals in the hub leaking. When I had this problem the dealer replaced all the rubber lines to the wheels and said it was fixed. They tested it as you have with all 4 wheeels off the ground. They did not drive it. Well when I tried it did not work. I took a look at the metal lines and found them blocked with stuff that had been sucked into the lines from the wheels. So I hooked vacuum lines directly from the tee from the 4wd to each front wheel temporary. It still did not work. I called Kia and they stated the front or rear seals of the wheels, (bearing) could be leaking vacuum causing the 4wd not to work and would need replaced.
Well long story short it would have cost near $400 to replace all seals, lines and ect. in parts alone. I found manual lockout hubs at Bumper to Bumper for about $150. Took about 30 minutes to install them. You still have to shift the lock inside the vehicle to get the transfer case to engage and turn the hubs to lock or unlock manually. A friend had the same trouble and his dealer charged $800 to fix his at the beginning of winter and by the end of winter they had failed again.
I assume your warrenty is expired so it is up to you as how you want to procede. In my way of thinking, it is a very poor design on this vehicle. If any part of the wheel get worn it looses vacuum and 4wd. The transfer case is shifted via linkage so the hubs are the weak link.