Wow, I stand corrected. I had recalled reading an article that claimed this, but according to the Wikipedia entry, it's not true.
I just did a quick comparison of Helvetica and Arial at 13px and, while they are very nearly identical at that size, enough of the superiority of Helvetica shows through (the q and R look nicer, for instance) that I'm willing to completely reverse my opinion.
Helvetica Neue on the other hand still looks awful at 13px on a standard resolution screen due to the tracking being too tight.
I really like Helvetica Neue, but I think you're right -- it doesn't work too well when it's small, at least on screen. At a browser's standard 16px it seems to be pretty good.
But in five years we'll all have high-DPI displays, right? (For certain values of "high-DPI" and "all.")
I just did a quick comparison of Helvetica and Arial at 13px and, while they are very nearly identical at that size, enough of the superiority of Helvetica shows through (the q and R look nicer, for instance) that I'm willing to completely reverse my opinion.
Helvetica Neue on the other hand still looks awful at 13px on a standard resolution screen due to the tracking being too tight.