When I played through Lemmings 2, I found the deadly ceiling to be one of the most annoying aspects of that game (granted, the flinging mechanics made that much worse than it would be in NeoLemmix, but still). Considering that the ceiling's behavior doesn't usually result in backroutes, the ability to put builders close the ceiling without having them die randomly because they went slightly too high is rather nice - besides, it's logical that lemmings, if allowed to go offscreen towards the top, would eventually fall back into the level area due to gravity, which isn't the case with the bottom (because you can think of it as a bottomless pit) and the sides (where there's no particular reason why the lemmings should EVER turn around). It also has the convenience thing of not having to babysit climbers as much - and if the level designer really wants to fry rogue climbers it's easy to use a flame trap for that, especially with style mixing.
It is also logical that the top edge of the level represents sky. You cannot hold onto the sky, therefore shimmiers should not be able to attach to it. To be honest, I don't think it's even all that inconsistent to disallow the shimmier from using the ceilng, because while we sometimes consider the ceiling to be technically equivalent to a mass of steel just offscreen, there's no particular reason it needs to literally behave like a mass of steel at the top of the screen. The main reason I think it makes sense to have lemmings hit their heads on the ceiling is because you have to set an arbitrary "you can't build here" cutoff SOMEWHERE to prevent the lemmings from walking on top of the level boundary - and having them hit their heads certainly makes a lot more sense than them randomly dying because they wandered 1 pixel too high.
Consider a level, one screen large, with the sides and ceiling accessible to lemmings. Now picture a builder that, if allowed to continue building as long as possible, reaches the point where it would die with deadly ceilings. Now, let's expand the level, repeating the terrain on the edges of the level infinitely. Lemmings traveling to the left and right would continue travelling left and right forever (assume the player lacks a skill to turn them around with), whereas the builder, building in the same position as before, will fall back down after passing the former ceiling. This is a compelling reason why it makes sense for the sides to be deadly, but not the ceiling.
To summarize, I am strongly against deadly ceilings, and against shimmiers attaching to the sky.