Different countries in the EU have different regulations on this.
Training towards a frozen ATPL is tax free in Poland but is taxed in the UK and Spain. It actually causes a big difference in prices which makes courses there much cheaper.
As far as I am aware, HMRC in the UK doesn't allow individuals to run the costs through a company to get VAT back. If they did, everyone would be doing it.
Again, other countries might have different regulations on this.