Should I select exempt from withholding on VA-4? I live in VA and work in NC. The company continues to withhold taxes from both states. I have completed form VA-4B.

No, you should not file form VA-4 because there is not a reciprocal agreement in place between VA and NC.  Your income will be subject to tax in both states and you will be eligible to claim a credit for taxes paid to another state on your VA tax return.  Completing form VA-4B is appropriate and all you need to do.