Is it worth unlocking potential only to merge?

It ultimately depends on your personal preference, but there are some pros and cons to each side.

If you want to promote your 4☆ Nino solely to merge, then it would be best to stick to that plan and promote up any 4☆ Ninos you get in the future to merge with your "master" Nino. A level 40+1 Nino is nothing special. It's not until +4 or +5 where it really starts making a difference. However, you have to really be sure you want to commit to that. The feather cost of getting a +10 hero is astronomical, assuming you have to promote all 10 merged heroes, that's a minimum of 200,000 feathers. However, in the end, your Nino would be exceptionally strong and pretty tough, especially in the Arena.

On the other hand, the jump from a 4☆ hero to a 5☆ hero is quite drastic and, in many cases, unlocks unique weapons or third tier skills that are very useful. In your question, you mentioned Grand Hero Battle heroes, who never come as 5☆ units, requiring you to promote them to unlock their full potential. Of the past handful of these GHB heroes were Xander and Camus, two top-tier heroes whose true potential is only realized once they've been promoted to 5☆ so that they have access to their unique Distant Counter weapons. Dropping 20,000 feathers on these units as they come up is not a bad strategy, as it allows you to diversify your teams to handle different types of challenges.

The choice really boils down to whether you want to commit a lot of time and effort (and likely, money) to create a super Nino or use feathers on various units as you see fit to have an army of relatively good 5☆ heroes.