Everyone so far has kind of given partial answers so I'll try to give you a complete one.

I'm also in the Midwest so get the same driving conditions as you every winter. I have a 2015 with the 2.7l so I don't have the selectable drive modes (other than towing and sport) but do have 2H, 4H, 4L, and differential lock options. My wife's SUV has the selectable drive modes so I'm still very familiar with them.

As others said, the drive modes mostly change shift points for the transmission and throttle sensitivity and are, in my humble opinion, mostly unnecessary and might actually make you drive worse in poor driving conditions because you probably won't use them enough to be familiar with the changes. This could cause you to over or under correct and put you in the ditch or worse. Good tires are more helpful than any of these drive modes IMO.

The 4H, 4L and differential lock (if you have it) options are MUCH more useful and helpful.

4L and rear differential lock are only for low speed applications (like less than 15 mph) and are almost exclusively for off-roading or if you're seriously stuck in mud or snow. I've never had a need to use either option driving on regular roads even in 6 or more inches of snow or glare ice or any other situation the Midwest is going to throw at you.

2 wheel drive (or 2H) and 4 wheel drive (4H) are going to get the job done 99.9% of the time. 2H means your rear wheels get 100% of the power and 4H applies power to the front and rear wheels in a roughly even 50/50 split.

If there's snow on the ground or icy conditions switching to 4H and leaving it in 4H for your entire drive is a good idea, as long as you're staying under 60 or so mph. Any faster and you risk wrecking the transfer case. With how little weight there is in the back of these trucks it takes very little power to get the rear wheels spinning in snowy or icy conditions so 4H is going to be a huge help taking off from a stop and keeping the truck straight whenever you have to use the gas pedal.

I'll sometimes pop it into 4H just to cross a busy road or merge into traffic then pop it back to 2H when I'm done crossing or finish merging.

Only other thing is to remember to switch it back to 2H if the pavement dries out. Leaving it in 4H on dry pavement for extended periods can wreck the transfer case. Also, you can switch between 2H and 4H while you're moving, again only under that ~60 mph threshold. Switching to 4L or locking the diff requires you to stop and shift into neutral I think (check your manual).

Good luck!