Hi stefair,
I think what your friend was trying to get at is that the UK CAA is the only one out there that can "approve" JAA training to a flight school in a non JAA state. In other words, if you go to the states for JAA training its effectively a UK JAA licence. Therefore, may not be fully excepted by all JAA member states so if you want to fly in another country besides the UK you may have to convert your licence. The extent of the conversion will depend on the country. If you want to save yourself some heartache and cash I would do an ICAO PPL and hourbuilding, then return to the UK and do the JAA CPL. An excellent place to do the PPL and your hourbuilding would be the states or even better South Africa. I've done both a JAA PPL and a South African PPL and have to say the south african training was excellent.