There is a high/low clutch on the axle also. is inside next to the differential. its a 3 or 5 tooth metal piece that slides in or out when you shift. Its the same setup used on the walkbehinds. this can get stuck in between and not engage the teeth on either side, resulting in no movement also. Its been a long time since i took one apart to repair, but if the metal teeth wear (and they usually do), it can ratchet against the spring and not move either. I don"t believe it makes enough noise to hear it over the engine when it slips.
its also possible to sheer of or lose the metal keys in the axle hubs. If this is true, you can get off and see the axles turning inside the hub on one side or both.
This link should take you to the service manual, which has everything you need to know about your tractor.