Well I haven't done it personally but know a lot of students that did.
FAA zero-hero + JAA conversion can be done (significantly) cheaper then JAA training alone.
In general it would look like this:
FAA training until CPL-ME-IR
JAA ATPL ground school
Conversion for JAA CPL/IR & ME.
did it make it more difficult for you to understand the theory work and doing the exams as you didnt have to do all the necessary ground school and exams for PPL and CPL and the rest
That doesn't really apply since you have to do the JAA ATPL ground school before the license conversions.
So you are up to speed academically with everything that Europa-land requires before you train for the licenses/ratings.
I would recommend it to everyone that asks, FAA fisrt then JAA conversion.
The way to go as far as I am concerned.
Worst case scenario is that the cost turns out to be the same; even then you're out ahead since you are dual qualified and have much more varied flight experience.
Beware, you will hear a lot of arguments against it.