The original Z80 is rated at 2.5 MHz
The Z80A is rated at 4 MHz
The Z80B is rated at 6 MHz
The Z80H is rated at 8 MHz
etc...
The Neo Geo was designed to use a Z80-compatible processor running at 4 MHz. In fact, if you look at the motherboard, it even has "Z80A" printed next to the where it goes. Yet the CPU installed is a Z80. Apparently to save a little money, SNK installed cheaper Z80 chips instead of Z80A chips and ran them overclocked at 4 MHz. I find this rather shocking considering how expensive the Neo Geo hardware was back in the day.
Rather surprisingly, the overclocked chips seem to be able to handle the extra speed without issue most of the time. Nonetheless, if you are going to take the trouble to replace the original Z80 I would recommend using a Z80A (or Z80B, or Z80H...) so that it is no longer overclocked.