In "Drive" or "Overdrive", first and second gear rely on one-way clutches--roller clutches or sprag clutches, that engage in one direction and release in the other direction.
Engine torque keeps them engaged. Release the torque--close the throttle and coast--and they disengage.
So, in "D" or "OD", there is no engine braking. There's just "lack of power" and whatever internal friction that might act to slow the vehicle very gently.
If the shift lever is popped down to "L1", the rear (First/Reverse) band engages, which under acceleration fortifies the one-way clutch. (Improves the torque capacity of first gear.) You wouldn't notice any difference in the way the vehicle accelerates. But when you pull your foot out of the throttle pedal, the band (unlike the one-way clutch) doesn't disengage. Thus, strong engine braking. Similarly, in L2, second gear, the front band (intermediate band) reinforces the other one-way clutch. Again, no difference under acceleration beyond the torque being held by the band and one-way clutch instead of just the one-way clutch. (Improves the torque capacity of second gear.) When decelerating, the one-way clutch would disengage, but the band still holds. Engine braking in 2nd gear. There's no engine braking in 3rd or 4th, just that same "lack of power" and some friction.
So best I can figure, GM played valve-body games with the Diesel transmissions. Somehow they disabled engine braking. Reverse works, therefore the Low-Reverse band is in place and functional--in reverse. But not in L1. No engine braking in L2, either.
That...or there's some goofy malfunction in that trans. I don't think so. I think it's intentional.
Find a service manual, discover if diesel transmissions are programmed to do engine braking, or if engine braking has been disabled.
This might also be in the owner's manual.
Everything else is guessing.