Remember, these are New Zealand standards, which are apparently more stringent than ours. According to them, not one of the receptacles in our homes here in the US is safe (nor do they meet European standards, because the face is not recessed). But neither do the adapters commonly sold in the US for Europe (such as this one) meet European standards.
"WorkSafe NZ energy safety compliance officer Richard Lamb said the adaptors did not have adequate protection to prevent contact with live parts"
I looked up the receptacle design for New Zealand, and the face is not recessed. The only thing on their receptacles preventing contacet with live parts is a switch so you turn off the receptacle before taking out the plug. Not sure this makes sense. This adapter is apparently to allow appliances from other countries to be plugged into NZ receptacles, but if it's put in a New Zealand receptacle, the receptacle would have the required switch.
Maybe someone from New Zealand can contribute some firsthand knowledge to this discussion.
The only other thing I can think of is that the blades on New Zealand plug have to be insulated up to the tip, so that they disconnect if the plug is pulled out far enough to make contact, and this adapter doesn't have that feature.
As for CE, it's a self-certification and only applies in Europe. Attaching the CE mark only means that you have done your own analysis (including a probability/consequences study) according to their guidelines and found it to be safe. Your analysis is kept in a file in your office and no one from CE will ever see it unless someone is killed or injured. Then you had better have done the analysis correctly.
BTW, many UL approved devices have protection provided by a "polarized plug" (one blade wider than the other). Our US receptacles are polarized, that is, the neutral conductor is attached to the wider blade slot. But European receptacles are not polarized, so any protection is lost. In Europe, protection is provided by what is called "double insulation:" (indicated by a square-in-square symbol). So really, if you are concerned, you should not take devices with polarized plugs to Europe.
This adapter looks like it has shutters to prevent contact with live parts.