FYI your bag will be opened by TSA. If you lock your bag, your lock will be broken/cut/opened and a nice pamphlet left inside. And that's the start of your . . . challenges. And no, your travel insurance wouldn't cover any travel delays if you ended up missing your flight.
Mind you, if you're happy to pay the appropriate duty on it on arrival, and you want to go through the hassle of that, prob easier just to purchase in NZ, and deal with the consequences that comes with that.
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