Well I don't know anything about the Neo4 so of course I can't be 100% sure but yes that slot's been there with previous incarnations like the Neo2 and it's just an orange painted PCI slot. That makes sense because otherwise it suggest that MSI developed their own kind of architecture.
You can see from athe manuals also that it's e.g. PCI slot 5 (for the Neo2) and "also works as a communications slot".
As to why they have marked this slot specifically for communications devices your guess will be as good as mine. All I can think of is maybe that slot (and none of other ones) is connected to the corecentre chip & the digicell thingy so that whatever is plugged there will show up in the comms section of that application.