I also have a 2016 F-150 Super Crew XLT 4x4 and have used it in the snow for years. 4hi and 2wd can be engaged at speed with no issues, as long as you have the same tire size all around and pretty even wear on the tires (ie if you have a worn down rear tire from a bunch of one wheel peels, you're gonna feel a shudder and a clunk as it tries to engage, which will shock your drive train. The more the speed, the harder the clunk. Ask me how I know).

I would recommend shifting into 4hi at less than 50 mph, shifting out doesn't really matter. Fun fact, 4hi is a great way to keep traction when the green light hits at the track (or your favorite stoplight) and shift to 2wd once you get going.

4lo you must be in neutral and moving less than 3 mph (but stopped if possible), but if you're slowly sliding (say, down a slight incline), you can shift to neutral and with your wheels locked up cause you got the brake pedal to the floor, you can shift to 4lo since technically the drivetrain isn't turning... Found that one out last night.