Why Egyptian and not other nationalities? What could one stand to gain, and why were the authorities so worried about it? Was this a common occurrence?
As far as records show, nobody transported to early colonial Australia (the First, Second and Third Fleets) had actually been convicted specifically for the crime of Impersonating An Egyptian (I'm assuming this era is what you really mean by Victorian England - the majority of transportation had already occurred by the time Queen Victoria was crowned). The one reference to 'impersonating an Egyptian' in Robert Hughes' The Fatal Shore is thus:
During the reigns of the first three Georges, law enacted death upon what seemed a limitless variety of human deeds, from infanticide to “impersonating an Egyptian” (posing as a gypsy). Between the enthronement of Charles II in 1660 and the middle of George IV’s reign in 1819, 187 new capital statutes became law—nearly six times as many as had been enacted in the previous three hundred years. Nearly all were drafted to protect property, rather than human life; attempted murder was classed only as a “misdemeanor” until 1803.
As far as I can tell, other prominent writers about early Australian history - Blainey, Clark, Clendinnen, Kaarskens - don't mention the 'impersonating a Egyptian' thing; it's likely a bit of colour Hughes put into the book to demonstrate the absurd severity of the punishment of property crimes in 18th century England to modern audiences. And given the prominence of The Fatal Shore, it's likely that it is the origin of this particular factoid (though Hughes clearly points to 187 crimes, rather than the 19 of the wine brand).
However, Mandy Sayer's Australian Gypsies: Their Secret History claims that there were at least three Romani men on the First Fleet: James Squire, who would become well known for his brewery, the forger Henry Lovell and Squire's brother Timothy, who was a second mate on the Lady Penrhyn. Sayer argues that during the years of transportation, about sixty convicts had Romani heritage.
But yes, there was plenty of laws against travellers/Roma in early modern England, and 'Egyptian' here is basically what the legal system tended to call 'gypsies' (as it was presumably aiming for a more elevated level of language). The wording of 'impersonating an Egyptian' implies that the authorities did not believe that any of the travellers were actual 'Egyptians', but simply rogues and vagabonds who chose to act like 'Egyptians'; the book Gypsy Identities 1500-2000: From Egipcyans and Moon-men to the Ethnic Romany by David Mayall argues that the 18th century was a point of dawning realisation that the travelling nomads were fundamentally English rather than foreigners. This was a realisation, argues Mayall, which would bloom, in England, into a sort of Romantic literary fascination with gypsies (e.g., Heathcliff in Wuthering Heights is 'dark skinned gypsy in aspect').
I can't find a more official online source for the 1744 Vagrancy Act (which would have applied by the time of the First Fleet), but a blog by a lecturer at the University of Southern Queensland, Jeremy Patrick lists several different laws against fortune-telling - something associated in England with gypsies - and as a result quotes (a modernisation of the language of) the relevant part of the 1744 Vagrancy Act:
all persons pretending to be gypsies, or wandering in the habit or form of Egyptians, or pretending to have skill in physiognomy, palmistry, or like crafty science, or pretending to tell fortunes, or using any subtle craft to deceive and impose on any of His Majesty’s subjects shall be deemed rogues and vagabonds
(Vagabondery was a felony and therefore punishable by death.)
There are some records in the Old Bailey from 1695 in particular of people being tried (1, 2, 3) seemingly for calling themselves an Egyptian. Here is the entire text of one of the records of 'Egyptian'-related death sentences linked above:
Peter Lawman of the Parish of St. Mary Islington , was Indicted for Felony; for that he, being above the Age of 14 years, was seen to wander up and down, calling himself an Egyptian, from the 10th day of June last, to the 12th of June following . The Prisoner alledged for himself that he was a German, and no Egyptian; nor that he did say at any time he was an Egyptian; but the Evidence for the King being very positive against him, the Jury brought him in guilty of Felony.
However it seems that the crime of 'impersonating an Egyptian' was quite lightly policed in London by the time of the First Fleet (I can't find any records of people being sentenced for being 'Egyptians', 'gipsies', or 'gypsies' in the Old Bailey Online archive from the time when the people on the First, Second and Third Fleets would have been sentenced). However, the Old Bailey in London had few records relating to 'Egyptians', there are more records in rural courts of travellers being tried for property-related crimes, and most of the Romani that Sayer identifies in her books as convicts transported to Australia come from rural situations.
Nonetheless, given the point of many of the capital statutes discussed by Hughes was to protect property, you can understand why people who were living traveller lives were targeted; in living nomadic lives where they likely were poaching and stealing food, they were violating the property rights of others. Thus, the 'Egyptians' who were transported to Australia in the First, Second were sentenced for stealing chickens (Squire), forgery (Lovell), or stealing an ass (Lazarus Scamp on the Second Fleet).