I do know of people who have been and done JAA approved courses and been refused a license upon return for one reason or another
By law, the CAA cannot refuse to issue a licence or rating if someone has done an approved course of training. Anyone who is refused is entitled to appeal under Regulation 6 and have the whole thing investigated by an independent panel.
In the unlikely event that someone has been refused it is probably because they have been lied to by the school, which does not hold the approval it says it does, or because the training has not been completed in accordance with the approval.
I do recall talking to a young lass in the bar at our local flying club who had been refused an IMC rating after a course at a well known Florida school because the training she had done there bore no resemblance to the course that had been approved by the CAA.
It is no skin off the CAA's nose where you do your training, if they were that bothered about it, they wouldn't issue the approvals to overseas schools in the first place - or would make it impossible for them to operate. Thousands of people have trained for JAA licences in the USA and elsewhere and have had those licences issued by the CAA with no problems at all. What's more, plenty of those now fly for UK and other European operators who don't give a toss where the training was done, so long as you have the licence and can pass the sim check. After all, BA used to send its cadets to the USA and Australia for training before it closed down the scheme.
With the USD at its present level, there is every reason for training in the USA. Even if you have to fly a few hours dual back here before a club will hire you an aircraft, it'll still be much cheaper overall and a darned sight quicker.