That's not strictly true, and varies between implementations/transfer case designs. In Jeep Wranglers, for example, which have both high and low gearing options in 4WD, the owner's manual will indicate that you can drive at any speed (on loose surfaces such as sand or dirt) in 4HI and 0–25 MPH in 4LO.
A friend of mine had a old truck that would randomly switch to 4LO on the highway. It's pretty scary driving 60 and having 4LO switch on.
The inside wheel would spin if the outside doesn't slip.
There are many types of SUVs and trucks with 4wd in the US. I guess in Europe you only have Land Rovers or G-wagons. I don't think GLs or MLs are common in EU but you can get beefed up off road packages in the US.
Source? Center locking diffs are more or less standard, rear lockers are options in LR3/4/post 2004 Disco's, Sports and Range Rovers (although standard in some, I think the Supercharged and possibly the SVRs, but I'd need to check) Front lockers are not factory options and I don't ever recall seeing after market lockers for these models advertised.
Defenders, Discos upto 2004, Range Rover classics (and probably P38s) and all series vehicles have the standard after market options for front and rear lockers.
http://www.ebay.co.uk/itm/like/182246825443?lpid=122&chn=ps&...
Center diffs are for the most part (in Land Rovers) locking differentials, though some Discovery IIs had open center diffs and things like Freelanders use a viscous coupling in place of a mechanical diff lock.
Newer models have an electronically controlled locking diff in the gearbox (center) and an optional electronically controlled locking differential at the rear.
But front diffs on modern Land Rovers are open.
Edit: Here is an image showing the locking diffs on an LR3/Discovery 3: http://www.landroversonly.com/forums/attachments/f41/37257d1...
Note the center diff is unlocked (or open) and the rear is locked, there is no option to lock the front, which will always be open.
4WD is meant for off road conditions. You get more torque so you'll be able to get over rocks and out of ditches. The downside is you shouldn't use it over 10mph or so.
I can't think of any recent car that is 4WD. It doesn't make sense since you'll probably never be "off road". Cars don't have proper ground clearance.