The symptoms here point to a stuck flasher relay. This is the electrical component that not only powers the indicator lights, but makes them flash (and produces the steady clicking sound you hear when the indicators are on). The contacts in these units can become stuck at which point the lights can become stuck on.

Why does it still happen when the ignition is off? Because the flasher relay is powered up even when the ignition is not. That’s so you can have the emergency hazard-warning lights flashing even though the vehicle is locked and the keys in your pocket. A new flasher relay unit should fix it.

This sounds very much like a fuelling problem. Since a diesel engine has no ignition system (beyond its own compression) any fall off in performance can often be traced back to the fuel system.

The best bet is to take the vehicle to a diesel specialist that knows this make and model and will have either seen this exact set of symptoms before or will be able to make a logical diagnosis rather than just changing random parts that may or may not be the cause of the problem. Things that are likely causes, however, are the fuel filtering system, fuel pump and injectors. But don’t rule out something simple like a bad batch of fuel that is playing havoc with the entire system.

 While the front hubs lock automatically when you engage four-wheel drive, they don’t automatically unlock when you disengage four-wheel drive. To do that you must press the button in the dash. It should all be explained in your owner’s manual.