It simply means that the information for you - QSL preferences, address, etc. - are correct on your QRZ page.
Why use "I'm good on"? Well, way back in time, before the internet and QRZ.com, the way you would find the address of another ham was to look in the Amateur Radio Callbook. If during a QSO, you indicated that you would like to QSL with the other ham.... often he would say "Im good in the book" which meant that the written info in the callbook is correct. Guess they are just carrying a bit of ham radio history into today's technology. 73, Bob / WE8R
Only people with USA callsigns are automatically on QRZ, non US hams have to be members at some stage to be there and there details are not automatically updated.
Strange, I'm right across the lake in NY and we say Q-R-Zed here too. Zee sounds like too many other letters. 73 de Dan, good on QRZ.