Windows doesn't have Helvetica Neue pre-installed, so it will display Arial instead I think. If you want to use Helvetica Neue and have it work for all devices, you will need to upload helvetica neue as a webfont in "lay options" -> "webfonts". And then use that font for your textformats. You may need to buy the webfont for that.
Please note that at the moment you need to install the plugin "disable real mime check" because right now there is a bug in wordpress which will prevent you from uploading woff files. :/
Still your font will display slightly different across browsers. Browsers just render fonts a bit differently, so this will be a problem that you cannot solve.