Yes, you should.
You can see so for yourself. While making test strips, if you bump the grade from 3 to 4 you see that the time on the ZMII nearly doubles and you are supposed to correct for that by reducing the exposure by 1 full stop. Or, in ZMII parlance, by decreasing it with 12 steps. Depending on your chosen step size you should press the downward exposure arrow 3, 4, 6 or 12 times. When calibrating, grade 4 and 5 need a -12 exposure adjustment.
If you have any further question, do not hesitate to make some noise ..
Good luck!