Major concern is this is brand new territory....who knows what may happen or could happen. I'm sure that there have been safeguards written in but nothing has been tested or put under pressure so outcomes are completely unpredictable the fact that the FMA has some oversight wouldn't allow any peace of mind in my opinion.
P2P lending may be new to NZ but it has been operating in other countries (UK, USA) for some years. Looking at some of the overseas P2P sites you can see similarities with the NZ companies in the way that their sites look and the language that they use. For example, here is Mr Money Moustache's experience of Lending Club after one year

I'd suggest that the NZ sites are merely following (hopefully) best practice of the companies who have been doing this for a while. Time will tell.