Actually I think this is correct. Lord Howe Island itself is an unincorporated area of New South Wales, and as such the caches on there are listed as Australia / New South Wales / Unincorporated NSW
I'm not sure if the same applies for other areas of the Lord Howe Island group or not though (particularly anything uninhabited), hence why this cache has no associated county.
That aside, if it is wrong it will likely be because the source is wrong - the only address detail on OSM for Balls Pyramid is NSW, Australia whereas Lord Howe Island itself is Lord Howe Island, New South Wales, 2898, Australia