The Reserve Bank of New Zealand has decided that you folks dont need deposit insurance, because it doesnt prevent runs on banks and you would have to wait to get your money anyway, pretty much ignoring that deposit insurance is to protect small depositors. In the US, deposit insurance is rarely used, because the fed usually arranges for a takeover of the failing bank, but it is nice to have in as a last resort.
I admit I didn't do a deep analysis, but I dont think I would want to opt for lower moral risk and less prudent supervision at the expense of not actually getting my money back