All four is correct. Some other games on MVS only require 2 or 3, but kof '99 will be especially annoying if you try to play with less than 4 because the character order select screen requires a press of all 4 buttons (otherwise you'll be waiting for the timeout).
I played kof '99 in the arcade which I found to have a broken C button and it was aggravating to stand there and wait for the timeout.