4x4 will automatically engage - just leave the control on ‘auto’.
Selecting ‘off road’ forces 4x4 (up to 30mph) but also alters other settings such as limiting the ESC system, altering the throttle response, and allowing ‘diff locks’. Only turn it this setting when you know you’ll get stuck - eg in a seriously boggy field or in very deep snow - and do not use it on tarmac. Otherwise you may cause damage. (This is why it disconnects over 30mph, but re-engages when speed drops again)
My 4x4 - I have only once needed to force the 4 wheel drive once - the rest of the time (in mud etc) it seamlessly kicks in and out on the ‘auto’ setting (note: the 4x4 doesn’t have a button to select ‘auto 4x4’, as that is its default anyway. The Cross adds ‘hill descent’ but otherwise has exact same selections and capabilities as the ‘regular’ 4x4)
In both cars, there is no indication that 4x4 comes in - other than you don’t get stuck! In ‘off road’ mode (or when the 4x4’s ELD button is pressed), you *do* get an indication that the diff locks have operated, by the flashing of a yellow ‘diff’ icon (purists will say its not a diff lock. I know, but the effect is practically the same)
There is no fault with your car. To return it to ‘auto’ 4x4 mode, turn and hold the knob until the ‘auto’ light shows. It will remember the setting when the ignition is turned off.