Good day, gentlemen

I'm having some problems with a car right now and I thought maybe you have a spare second to share your experience with me.
I have an ugly sound coming from the down of my car. Around the Transfer case. Its a metal-on-metal, bearing strip-like sound. Like two non lubricated plates scratching each other with frequency of sound increasing depending on speed. Very Very loud. It comes only when under the load. If I put neutral and just ride without any gear put – no sound. So it makes sense thats its not a brake or cv thing. My dealer says Its Transfer-case inside sound, but it gives no errors(should it?). I thought maybe it could be a shaft. Splines could be worn etc.
Any chance to check it? I just dont want to buy an item which costs around 2-3k and that is simple as it is, so just trying(hoping) to locate a problem in different place.

X5 2001 3.0 manual 110k miles