It depends... I'm not sure about NeoCD games in question (I don't generally listen to them on audio players).
Some players will skip the track, some players will just play silence, some players will stop, other players will try and play the data and well, it's not a very pleasant sound. If you are determined to play the data track make sure you reduce the volume. wink
All PCEngine and Turbo CD's have track one as warning track in the front and some of them are actually pretty funny. (If I remember correctly Dracula X have the voice actors for Maria and Richter talking and yelling at each other.
I think the Working Designs have this robotic voice telling you to stop or you could blow your speakers... Some of the older US games will have the Japanese warning track on them actually.
)
I believe in most cases the NeoCD's audio tracks will be seperated on their own tracks. There are a few games that don't have audio tracks. (I think Puzzle Bobble is one.)