To cut a super complicated story short (as I understand it)...
SOME JAA countries accept the ATPL theory passes of other member states. eg. Spain is happy to issue a CPL on the basis of UK theory (same goes for IR - which I did in Spain with UK ATPL passes). That isn't the case the other way round. The UK only accepts UK ATPL passes.
However, if you did your license in Spain you will be issued a Spanish CPL (not the case with IR which can be added to a UK license just so long as you have done your CPL in the UK). The CAA hate then converting these to UK CPLs.
In conclusion... do the ATPLs wherever you want to do your CPL test (and hence license issue) unless another country you want to fly in accepts ATPL passes from elsewhere. You can add ratings to that license anywhere in JAA members states.
I would argue that there is a case to have a UK-issued CPL if you want to fly here. I did my ATPLs in the UK, ME/IR in Spain, CPL after that in the UK(only 15 hours training) and now have a UK fATPL.
Hope that answers some of the questions (badly)!