The main difference regarding the licenses is cost. The other main difference is the right to work. Eg, I hold a CASA & EASA ATPL but there's no point in me holding a FAA ATPL as I cannot work in the US. (I could get one to operate an N-reg aircraft but I cannot live in the US unless I applied and got a "green card")
So, unless you can live and work in either Europe or the USA, then those licenses are not worth the effort.
Not quite sure where you're getting at regarding an Asian carrier. You can join an Asian carrier after working in Australia. They do not require massive amounts of jet time, turboprop time is acceptable.
You will require to convert to a HKG (or other) license but the company (eg Cathay) takes care of it for you. Likewise the immigration aspect.
The immigration aspect is not taken care of in either Europe or the US, you need to do that yourself. (as well as the license conversion)