Hi Ross, the CDL can stay engaged - it's not unusual.
Even though you have pushed the button in, while the light remains on it hasn't fully disengaged due to the gear mesh tension holding it in place (wind-up).
To disengage after you push the button in, just set the steering straight ahead and drive slowly a short distance in reverse and forward (if necessary) to release any wind-up.
When the light extinguishes you have fully disengaged the diff lock.