With turbo cars in the game you, moreso in real life, you will find more "lag" with the stage 3 and 4 turbos as they make most of their power much higher in the power band.
In NA cars with stage 2 or 3 upgrades the power band gets "meatier" throughout the rev range. On tighter courses, like Monaco, dump the stage 4 turbo for a stage 2 and your times will almost certainly go down, cause you won't be waiting for the turbo to spool up.