Are Money Transfer services better than Bank transfers?

I was planning on moving a chunk of cash from a foreign currency account I have with my bank to a domestic currency account. Same bank, same business, etc – just different currencies.
My bank (ANZ NZ Ltd) – doesn’t charge a transfer fee – but the exchange rate isn’t great.
While I was checking the exchange rate on XE.com- I noticed they offer a transfer service, which offers considerably better rates, and would net about $600 more in my account.

Am I missing something obvious – or is this a reasonable way to transfer money?