As The Real MSH says - it needs vacuum to engage AND disengage.
You need to check the pipes from the diff lock control to the actuator ( yellow and blue IIRC) with a MityVac - Its more likely to be the actuator itself, probably the sealing ring around the actuator shaft that is leaking. In some cases the retaining screws swell up with rust and crack the casing.
Its easy enough to take off - they are NLA from Audi but there is a Mercedes part that works.
I had the same issues last year - have a look at the link below.
http://www.quattroforum.com/index.ph...ctuator.24641/
Mark