Not accusing there's a conspiracy, but if there is...
Are the phones really in NZ, or is it just DHL's systems telling everyone so? (Including the DHL employees, remember the best way to keep a secret is to keep the number of people in the know low)
It's a far enough location that the fictional return journey will take a while, so enough time for whichever agency to install whatever they need onto the phones.
Need Zealand has major shipping issues. Our ports are overloaded with container ships having to wait to dock. We are far from all major (and minor) markets. Why they would ship them here is beyond me.
But hey, call me paranoid if you want ;)