I don't recall seeing any seal - between the female connector on the cable housing and the threaded nipple on the transfer case. Also, there is a pretty big distance in height between the normal operating level of the oil and the speedometer cable entrance:
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The gears are splash lubrictated and no oil level exists up that high. I would re-check that the cable end is properly threaded onto the trans case nipple.
Also, if you still have your original cable, compare the threaded connector with the one on the new cable.
If everything looks good - and you don't feel like pulling the cable and installing another - try making the connection up with a thin coat of silicone sealant, Permatex No. 2, The Right Stuff, etc.