I tend to think that the "all whites" title should be dropped simply because, even if it was never intended, it does tend to draw an unfortunate connection to the all blacks. Football is the biggest sport in the world, we shouldn't be having a name that's second fiddle in the minds of most kiwis. Just New Zealand will do for me.
The "All Whites", as a branding exercise, is a terrible name regardless of whatever (limited) history it has - we'd laugh at the All Reds, or All Blues.....
I would say "why do we even need a nickname?", but a lot of countries do, so I guess we have to defer to that trend.