Yep...in general you will need more 4wt line out to "load" the rod to the same degree than you would with the heavier 5wt line. For making long distance casts "underlining" the rod like this may actually be beneficial for this reason...you're hitting the sweet spot in terms of load on the rod with more line out. On the other hand, for shorter casts you may find it a little more difficult to load the rod with the lighter line. Depends on what kind of fishing you're going to do. I generally overline my small stream (short cast) rods, and fish my other rods at their rating. That said I would definitely consider underlining a rod if I was anticipating making repeated long (40-50ft + casts) that day...I just don't fish in those circumstances very much.
In the end, I agree with Tim though...for most rods with just some mild casting stroke adjustments you can probably fish +/- a line size without too much difficulty.