"ESC On" is the default operating mode when the vehicle is running. The driver may disable it manually using the Partial Off or Full Off features, which are exclusively accessed via the ESC button itself.
A full explanation of the ESC system and how it works is evident beginning on, for example, p. 152 of the 2020 Owner's Manual. It is not stated, there or elsewhere, that the act of shifting in and out of 4WD Low will have any effect on the functioning of the ESC system. If there's proof that this does in fact occur, we'll be happy to review it here.
In the highlighted WARNING section, first bullet:
ESC "Full Off" mode is intended for off-highway or off-road only.
Also whenever I drop into 4Lo my 'ESC Off' indicator light comes on.