This has been brought up here before. I haven't time to go into it in detail, but it sounds self-serving to me. What may be true about it is that NZ lamb is an extensive land-use product. But there is not that much intensive about European lamb production either.

And what is not stated is that NZ lamb, from wool-bearing breeds (Merinos-type) is lower quality than European lamb. Nor that the ship voyage = deep freezing. Generally, this means NZ lamb is used in mass food supply - works canteens, institutional meals, food industry ready-made meals. Few consumers will buy a frozen NZ leg of lamb rather than a fresh European one, despite the price difference.