It depends on what kind of misfire it is. But yes it is best to shut it down if it is misfiring.
I just thought that it only misfired when it is cold and stops when it warms up. Well now I know that's not the case.
One more thing.. did you clear the dtcs before you swap the coils? Since you stated that it only misfired on cyl#2 and when you swapped it with coil cyl#4 you had misfire codes for those 2 cylinders. Just make sure you clear it so it's not showing you some stored codes.