Answer
$c=i$ does belong to the Mandelbrot set.
Work Step by Step
Let $f (z)= z ^2 + i$
$z_0=0$
$|z_0|=0$
$z_1=f(0)=0^2+i=i$
$|z_1|=1$
$z_2=f(i)=i^2+i=-1+i$
$|z_2|=\sqrt 2$
$z_3=f(-1+i)=(-1+i)^2+i=-i$
$|z_3|=1$
$z_4=f(-i)=(-i)^2+i=-1+i$
$|z_4|=\sqrt 2$
$c=i$ does belong to the Mandelbrot set.