Auto Locking hubs,
 

Do Frontiers have auto locking hubs that engage when selecting four wheel drive? Or are front axles, differential, drives shaft engaged all the time and only disconnected/connected at transfers case when selecting 2wd or 4wd?

Front axel
 

It's a combination of both. The trucks come from the factory with auto hubs so when you engage the transfer gears the hubs lock-in at the same time. If you have manual hubs the power goes from the transfer gears to the axel, but power will not go to the wheels until; the hubs are locked.