You are forgetting economies of scale and regional pricing. Simply comparing the USD price from the American storefront is not a proper comparison. A direct currency to currency conversion is too simplistic in this particular case.
Remember before we got NZD, sure our games were priced in USD, but the USD pricing for the NZ store and the USD pricing for the American store still differed. Australia currently has this situation. It can be seen clearer because Australia still use USD pricing for their store, plus their 'regional' pricing is much higher in certain cases.
Now, since getting NZD pricing, the way that Valve/Steam peg the price of games for us has changed. As you have seen, our game pricing is in many cases cheaper than the Americans when you do a direct conversion. Another example of this is Canada. The NZ and Canada steam stores both price in their respective currencies, and in most cases if you do a direct NZD>USD and CAD>USD conversion the games work out cheaper than using the American storefront. Why is this? It’s the same reason if you do a conversion from Russia, Brazil, Singapore, or even Norway to USD – the price is still cheaper in converted USD than the American storefront USD price. NZ, like the other countries listed, is in a different pricing tier.
tl;dr Steam pricing is not as simple as a direct NZD to USD conversion, there are other factors involved.