JT: Yes, I've certainly heard of Mi-Sex ... and I can confirm that they did indeed take their name from the Ultravox! track, My Sex.
Aside from Split Enz, I personally think that Mi-Sex were the most promising band of their era and it was a great shame that lead vocalist, Steve Gilpin, died as a result of a car accident in 1992. He'd actually written one of their last singles, Blue Day, after having a dream that he was going to die in a car accident. Sad but true.
By-the-way, New Zealand also has a chain of hairdressing salon's called 'Dangerous Rhythm'.