There are a lot of very subtle nuances when dealing with formal logic.
As a theory, the arithmetic of natural numbers is
incomplete: that means there exists a statement P that cannot be proven or disproven from the axioms.
However, one might have a
model of the natural numbers. One of the things you can do with a model is to evaluate the truth of
any statement.
Therefore, for any model of the natural numbers, there must exist a true statement P that cannot be proven or disproven from the axioms. (Of course, P might be false in a different model of the natural numbers)
Here's an example of a suitable statement P:
http://mathworld.wolfram.com/GoodsteinsTheorem.html
In formal set theory, we usually use a particular model of the natural numbers. Intuitively, each natural number is defined to be the set of all smaller natural numbers. So, 0 = {}, 1 = {0} (= {{}}), 2 = {0, 1}, et cetera. Goodstein's theorem is true for this model of the natural numbers.
However, it would be false for some other model of the natural numbers.