Montmorency:
The MF shield could, for example, implement simple latches for each segment in each digit to make it stay on by itself once it is lit (i.e. add internal "memory" for each segment). This would eliminate the need to constantly "sweep" the display. The display would simply hold its last set state for all its segments. Of course, such display would cost quite a bit more.
All this is true except that when you implement what you describe here, you no longer have a multiplexed display.