I don't think there are any disadvantages in USA. We had a student come to Canada to finish his CPL opposed to doing it in Germany. He finished it in 9 weeks. 0 hours to 200 hours with his CPL in hand. The only difference I think there is compared to Canada and USA (yes, they're both better than doing it in the UK) is that you learn spins in Canada. And if you're above 4000 ft with an engine failure in USA, odds are you'll find an airport to land at within gliding distance.
Though if you come just north of Washington into British Columbia and to Victoria International Airport at night, you can watch it light up for free! No landing fees either. Its so bright its blinding.
However, coming from the UK doesn't seem like it would be that much cheaper.
I have a friend that came from UK to Canada to get his CPL from PPL. He came atleast 3 times, but he worked for an airline so it wasn't too expensive. But I was told that his conversion to JAA costed $1200 per exam and there was more than 10 exams. Doesn't seem like it pays off in the end.