Essentially, if African diversity was already geographically segregated at the time the Neanderthals migrated towards Europe, their similarity could simply mean that they derived from the same sub-group of Africans as the later Homo sapiens migrants that settled the rest of the world. If I understand it correctly, this would mean however, that the genetic differences within Africa should be as large as those between modern humans and Neanderthals, which is not what has been observed.
The authors also offer a more complicated model, involving human emigration from Africa, mixing with Neanderthals, return to Africa, and then emigrating again, which in my eyes falls victim to Ockham's razor, as it is needlessly complicated.
But anyhow, I agree that one should sequence a lot more African genomes, seeing that most of human diversity is between Africans, not between the groups wrongly labelled as "races".
Neandertal Genome: The Ins and Outs of African Genetic Diversity
Jason A. Hodgson, Christina M. Bergey and Todd R. Disotell
Current Biology, Volume 20, Issue 12, R517-R519, 22 June 2010
summary and link to pdf file