This is up to you. We can hold your UK Pension in GBP for as long as you like, giving you currency control. Or if you would like to transfer it to NZD once the funds arrive, we can arrange this for you.
As the transfer process can take some time, and there is little warning as to when the funds will make the trip, we often recommend transferring in GBP so that you can then transfer to NZD to reduce currency exchange risks. You can also choose to exchange your funds from GBP to NZD in bundles over a period of time at no additional cost - this is called Dollar Cost Averaging and can be a smart strategy to minimise currency risk.