There's no connection between the government funding consumer protection and the government receiving GST revenue. GST largely offset sales taxes and personal income tax when it was introduced in 1986. The Consumer Guarantees Act was 1993.
I understand that there is no connection, however GST has risen since the CGA came in. But it doesn't make much sense that consumers are covered by the CGA for personal use, and if it was purchased for business use, you generally aren't covered. The main difference is that consumers have to pay GST, whereas business can claim it back. Also someone has to pay for the commerce commission and enforcement of the CGA etc, although it probably comes out of general taxes, it has to still be paid for, so some amount from any goods purchased from a NZ retailer would be paying for that. So that is probably covered by the higher price of goods, and all the compliance costs and overheads that NZ businesses have to pay, which overseas retailers don't have to pay.