You can leave it in 4wd all the time IF you basically never cross pavement/concrete, and IF you don't make tight turns. For some people that really is 'all the time', but for everyone else you should be avoiding 4wd unless you actually need it, just to prevent putting wear and tear on the machine for no benefit.
A locking diff will make the tractor only want to straight. You can still turn, but by doing so you are 'dragging' one of the rear tires along at a different speed than it is spinning at, so you're burning gas and rubber for nothing. Generally you would only activate a locking diff for a short time to get unstuck, or perhaps to drag an implement through the ground in a straight line only.
As far as cars, most cars actually do not have a diff lock or even a limited slip and have 'open' differentials. You could say most cars are really 1wd when it comes down to it. Power DOES transmit through both drive wheels until one of them loses traction, at which point the majority of power goes to spinning that wheel, and very little goes to the wheel that actually has traction to do something with it. This only matters when spinning tires, so for most people.. not that often!
Limited slips and locking differentials do exist on cars but are becoming more and more rare, partially because all modern cars have the ability to do what a tractor can do, which is apply a brake only to the wheel that's spinning, while letting the other one continue to push. It's fully automated and we call it traction control. If done well it is 'as good' as a limited slip or locking diff, but on a car that applies hundreds of horsepower and has much higher wheel speeds than a tractor, it also puts a lot of heat into the brakes to use them for this. Again, most people won't activate that feature often enough to notice any brake wear/fade. Actual mechanical limited slips are expensive and in addition also reduce the 'authority' of the ABS/Stability Control system to make the two driven wheels turn at different speeds, which stability control does to help restore directional control when you are sliding.
It's only fairly recently that cars have starting doing 'steering brakes' both for directional control and traction control even though it has been done for 100+yrs on tractors. I think Ford brags the new Bronco can do a tighter turn off road by locking up the rear brake on one side. Ya don't say! If only we'd thought of that a century ago! Oh wait, we did.
