Kiwiflyer, I don't belive that it is compulsory to enter any particular country using that country's passport if departing on your NZ (or other passport). Although perhaps there are variations by country.

For instance, if my wife wants to travel to Thailand on her NZ passport (but is also a Thai PP holder), there is no requirement for her to use her Thai PP. She will be entering Thailand as a NZ citizen and would need to meet all the immigration requirements set by Thai Govt for NZers for entry. If she chose to enter using her Thai PP, the she would enter as a Thai citizen and be subject to applicable regulations affecting Thai nationals.