The guys you know don't know what they are talking about.

The GVs have a transfer case which splits drive 50/50 between the front and rear (when in 4WD).
They are right in the fact that without a locker, a wheel (the one with the least traction) will spin up as per any normal open diff. If this wheel was to gain traction suddenly it can (and will) cause driveline damage.
Most common damage from this is broken axles in the rear, broken CVs in the front, or a broken alloy front diff if you are unlucky enough to have one (yours should be steel however being an 03).
This has absolutely nothing to do with having a locker fitted to one end only. I dare say it would be less likely to happen as you are less likely to lose traction when lifting wheels etc.
I presume they are probably talking about transmission wind up, but lockers won't cause that (mismatched tyre sizes, mismatched diff ratios, driving in 4WD on high traction surfaces etc all will however).
TL:DR version - get a locker and have fun
