We had to take four tests to convert a US ATP to HK ATP. None of them were that hard.
As far as where to get your training and licenses? Look at several things. It will cost you far less to fly in the USA. There are far more airplanes in the USA.
Look at the other options if you get a license, just in case you need to get some experience to get hired at CX, or in case they don't hire you (happens to some good people at any airline).
Do you have the right to work in the UK or EU? If you don't could you get it? Do you have the right to work in the US or could you get it? Might try to match your license to the country where you could work.
Some flight schools in the US may help to get you the right to work or get you a visa to work for them as a CFI.
There are a lot of jobs in the USA, although right now the decent airlines (except FEd Ex & UPS) are not hiring. That may change by the time you have the experience to get a job.