If the diff light goes out straight away there was no wind up.
I recon folk over think this one, there are a lot of myths about wind up. Shure if you drive in diff lock for a bit on a hard surface you will get some wind up an you should be able to feel this through the steering wheel.
However you are very unlikely to do any damage to the transmission.
Problems happen if the diff is left locked or is stuck in lock for some time, the first thing would be extra tyre wear and then strain on the centre diff, uj's ect.
My diff lock can be stubborn to come out [ wear I recon ] and reverse is often the only answer to release it although dipping a wheel on to the grass verge will sometimes make it let go.