iPhone is not locked in NZ.

Short answer: No NZ-new iPhones are locked.

Long answer: Network locking is relatively new in NZ, and currently serves only to bring down the upfront cost of entry-level Prepay devices. Locked devices are all clearly marked at point of sale, the unlocking fees are low (or free after a set period of active service) and the processes are easy. Because market precedent is for low unlock fees, there's no point in locking premium devices as the cost wouldn't affect the ticket price in a meaningful way.