No idea why this should be dodgy, unless one regards blatent job protection by the CAA as reasonable. There is no reason why one should not be able to sit the UK CAA exams anywhere in the world. After all, one can sit the CPL/IR ones at some Consulate in Thailand or whatever - the CAA fees for sitting them are substantial and money always talks.
In practice, one can come unstuck even just within the UK. I sat my PPL exams at one school and then walked out of there (crap maintenance, etc) and the new school was unable to retrieve some of my exam passes from the old one, and I had to re-sit them.