Posting this to help anyone who needs this in the future, as it was a confusing aspect of our process and hard to find clear info on.
My fiancee lived in New Zealand for about 18 months, so when preparing for her interview at the London consulate she had to get a police certificate from both the UK (her home country) and New Zealand. However, New Zealand does not do police certificates. They have two options: get a copy of you criminal record, which if the applicant had no convictions is just a letter from the police bureau stating as much, or "Police vetting".
If you are applying to immigrate and you need a police certificate, you must choose police vetting. My fiancee attended her interview with the letter stating she didn't have a criminal record, which resulted in her passing the interview but being told to send the correct documentation to the consulate before they could approve the visa. You can find information about it here. NZ Police will email the vetting documentation directly to the US consulate in Auckland, at which point it will be mailed directly to the US consulate through which you are applying for your visa. They do this very quickly--regular mail took three months to get to my fiancee when she was in New Zealand, but the London consulate received the police vet within a week.
The communication around this, as with the rest of the visa process, is somewhat lacking. My fiancee received an email about a week after applying for the police vet confirming they had received it and were forwarding it to the Auckland consulate; this was the only communication we received about this. The only reason we knew the consulate in London received the police vet was because our case status on the NVC case tracker website changed from "Refused" to "Approved". So if you're worried because you haven't heard anything--that's normal.