As others have said, do a Class 1 medical or at least research the requirements for it.
No, you're not mad and it's probably not a bad time to start the process. Although, getting the timing right can be like playing the stock market. There's a lot of other factors that can affect the markets... Aviation is particularly sensitive to economic fluctuations.
Have a trial lesson. This way you're not investing heavily into it and you can assess the school too. Very important.
Yes, you can live elsewhere and fly. Although, your licence/passport may have more to say about that. Inquire about EASA/UK CAA licences,
Good luck