I'm also an international user, in Central America, but have a US-based Amazon account with a valid US address, US bank account and credit card and have always left the country setting on my devices as "US". I've been using e-ink Kindles and Kindle Fires for years and have never been asked to verify my location, although others have reported that Amazon has asked for verification. Perhaps that depends on the country and VAT laws, etc.
However, no matter where you register it, all Amazon videos are geo-restricted and Amazon's US video services won't be available to you in New Zealand. I don't know if the newly opened Amazon.au offers videos or, if so, whether they're available in New Zealand as well.
If you are a US-based Amazon customer, it's possible that you may be able to circumvent the geo-blocking on Amazon videos by using a US-based vpn service since the HDX supports vpn connections ( earlier models don't) but it's a violation of Amazon's terms of service and it may not work anyway.
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