Do I have to change my nationality after I have permanent residency in New Zealand?

When to change one's nationality and whether to change it or not is a personal decision, and there is no question of whether it will work or not.

New Zealand accepts multiple nationalities. Many New Zealanders have more than two nationalities, so it doesn't matter to New Zealand.

But only one nationality is allowed in China, so it is your personal business to become a new citizen and give up China nationality.