I have 4 budgies and I was wondering if I should put the 2 mating budgies in a cage alone so that the other two won't bother the hen while she is nesting. Or is it better that the other 2 are there?

It depends on the behavior of your budgies. If they are aggressive or like to stick around by the 2 mating budgies, I would suggest separate them because the female won't be comfortable with the distraction of the other 2 budgies. However, if the other 2 rarely come by the 2 mating budgies or completely ignore them, I suggest keep the two there.