I have my pension paid into a UK Account so I can move it to NZ when the exchange rate suits me.
The pension is paid gross. Under NZ taxation law I have to declare worldwide income so it was far easier for me to deal with a single tax authority and pay all my tax in NZ. UK inland revenue agreed to that process. Just filled in a form, and sent it to the UK via the NZ IRD.
So it is not ALWAYS taxed at source - depends on your circumstances and the tax people are invariably helpful if you are upfront and not just trying to avoid tax altogether