As far as I know there is no flight school in Greece operating under the auspicies of the CAA. So you'll be training to the Greek syllabus, which in turn will be derived from the JAA syllabus. But all your exams will be based on the Greek interpretation of JAR-FCL, and on Greek law. Thus, I think having the CAA exams done (although probably good practice) won't be worth anything over there.
I might be wrong though. Maybe there is a CAA examiner available over there, or is there some sort of agreement to accept the CAA theory exams as substitute for the Greek theory exams. But it is something that I personally would want to confirm from official sources, not from some bloke on a Pilots RUMOUR network...