I'm also on the 39% marginal income tax rate in New Zealand. That income tax rate isn't the problem. Keeping $60K out of every $100K extra salary I make is plenty of motivation to work harder to make the extra $100K... especially because the taxes paid aren't burned, they mostly go to things I care about.
The income tax rate isn't all that relevant to the costs and benefits of starting a company, so I don't understand that part of your story. The rewards for founding a successful company mostly aren't subject to income tax, and NZ has a very light capital gains regime.
I have started my own company and I do agree that there are some issues that could be addressed. For example, it would be fairer if the years I worked for no income created tax-deductible losses against future income.
But NZ's tax rates are lower than Australia and the USA and most comparable nations, and NZers start a lot of businesses, so I don't think that is one of our major problems at the moment.