Well, you can still pick up an AR-15 online in NZ if you have a valid firearms license, difference is the police are going to know you have one, and will do a background check as well as have an interview with you.
In the US if you buy a firearm online from a retailer or distributor it is required that it be shipped to a Federal Firearm Licensee, who will perform a NICS (National Instant Criminal Background Check System) check prior to the transfer.
Though not required, many private sellers will only ship firearms to an FFL so that the transfer is documented (in what is called a "bound book") and the private seller knows the buyer can legally purchase the firearm.
Some private sellers (a minority, in my experience) don't insist on having a dealer do the transfer, but that has nothing to do with where the sake takes place.