I'm aware of the many passages which take a henotheistic view--Deuteronomy 32:8-9 perhaps being the most famous. See my post from five years ago on this topic, for example. It just seems that Micah 4:5 is in tension with vv. 2-3 and certainly with other conceptions, like that of Zechariah 14:16-21.
Yeah. It's a good question...especially since we have a more universalist theme in v. 1-3. The other relevant issue is the intertextuality between this passage (Micah 4:1-5) and Isaiah 2:1-5; which came first and what is the direction of literary dependence? It is notable that v. 5 is not part of the material paralleled with Isaiah.
BTW, the henotheism in the passage was not palatable to the OG, where the MT's b e -shem ' e lohayu "name of their gods" is toned down to tèn hodon autou "his own way" in the LXX. The kaige/ Theodotionic recension subsequently assimilated the Greek to the MT; the corresponding phrase is [en onomati the]ou autòn "in the name of their god" in 8HevXIIgr, and similar variants are found in Justin Martyr (en onomati theòn autòn) and the Syro-Hexapla (en onomati theou autou).