Unless the jet was clogged or something, why did you replace it? Do you have the old one? If it works, put it back!
Yes, the fuel/air mixture has to be adjusted correctly to get full combustion without leaning it out to the point that it's too low for optimum efficiency (or in the extreme, making an explosive mixture to make things a bit too exciting on igntion.) In addion to the fuel rate rating, the jets also differ in spray shape.
If you're replacing the jet, always replace it with something of the EXACT same ratings unless you're intentially raising or lowering the BTU rating of the unit (a whole other subject.) Even then adjusting the air for optimum combustion efficiency is something that should be done, particularly if you're seeing soot buildup (an indication of a too-rich mixture, cold-operation/short-cycling, or both.) If you're not going back to the old jet, you can eyeball the flame while adjusting the air and get it to where the flame-tips don't look dirty, but that's still not a substitute for adjusting it with a combustion analyser later, or putting in the exact manufacturers recommended part for the burner type & rating the furnace is set up for.