Diff-lock is for tough mud, deep snow, climbing or descending really steep hills, crawling over big rocks; it's your go-to for extreme situations, when 4-low just isn't cutting it. When the locker is engaged, your machine will continue to move forward as long as one wheel has traction, and it applies engine braking evenly across all wheels when going down those hills that are so steep that the harness is the only thing keeping you in your seat.
And yeah, it's totally normal for it to be really tough to steer when it's on, your wheels are mechanically locked to one another, and rotate at the exact same speed, so turning like that basically requires your machine to skid a bit across the ground. You won't notice it much in mud or snow, but on hard-pack gravel it's hard to get the thing turned around.