Maybe someone played a dirty trick on you? I mean, it HAS to be that if you've never taken the relays out personally. Just to be sure- you are actually saying the two big relays are not there right- I think there is empty spots in front of the 4wd relays that don't get used. Could be wrong.
If the relays are in fact missing, replace them and go from there. If it's still NO GO, be warned that sometimes the 4wd will throw a code that only the Ford computer (or AE) can read/reset. I had that happen- new parts- relays/shift motor and the "code" was preventing the system from functioning. Had Ford clear the code and all was well.
If memory serves, after new parts but before they cleared the code- trying to use 4wd resulted in either a blown fuse or relay.
I had the same issue as you- went into 4hi, then 4lo, wouldn't go back unless I took the shift motor off and shifted the trans case with a wrench.