Regarding converting JAA license to ICAO , I think you only have to do an airlaw test for the country you are going to fly in.
to the thread starter if you are planning to work in Europe get a JAA license , even if you don't want work there If you have EU citizenship you will have more options with a JAA license.
Converting an ICAO license to JAA is a pain , you have to do all the subjects , dual IR flights between 5 to 15 hours then a Flight Test.
By the way living costs are not cheap in Dubai. my 2 cents.