Your original selenium protection was not very quick acting or very accurate in clamp voltage. If it was sufficient for the design for such a long time, you probably have plenty of voltage margin.
MOV's subjected to frequent spikes tend to lower in voltage over time. thread248-62476 Your design should not be subjected to frequent spikes (I assume), but keeping the voltage higher than you think may be the way to go. If you had sensitive circuits, transzorbs or some multi-component approach would be the way to go so you could clamp accurately at a lower voltage.
The device using the 256 volt device may had done it so they could be use with in a wider range of applications, or to insure they could intermittently survive a high voltage situation such as an open neutral. Sometimes the approach of transient supression is to take the top off the transients and not to try to protect for the over-voltage situations. If the purpose is to protect from overvoltage, then high-power clamping with an inline fuse might be used. The designer of this 256 volt device may have not had that kind of protection in mind.
Without more information of what you are trying to protect, what the damage threshold of the devices on your 125 VDC power, and how likely a transient situation is in your application, it's a little hard to give specific suggestions. But, I would think a MOV with clamping in the range of 160 to 220 VDC might be what you would want.