I've done some more research and it seems it's a lot cheaper flying/learning in the US, is this true? Why is it cheaper there? If I have the 'capital' would it be worth going over there and doing everything?
Yes, it will almost certainly be cheaper to do as much as possible in the US, or the other countries that you see advertising quite heavily.
It is cheaper for several reasons;
Fuel price, a significant proportion of aircraft operating costs is fuel, so cheap fuel directly equates to cheap flying.
Utilisation, by the US people mostly mean Florida, to a degree California and maybe Arizona and Texas. They tend to have generally predictable, year round decent flying weather, so their fixed costs are split over a greater number of flying hours.
CAA/FAA, they're not being over-charged and over-regulated to death by their NAA.
Landing fees, largely non-existant over there.
£-$ exchange rate, depends I know, but can help.
If you've got the time and capital, it'll be worth it financially to go and do as much as you can in the States. Flying is flying wherever you are, you should learn the same aircraft handling skills regardless of location, there is a case to be made for getting familiarity with European airspace, procedures and weather while training. We don't really need to go over all this though, just have a root about with the search function for pros and cons of flying abroad.
But you've pretty much hit on my pet hate here. It really p

s me off when people f

k off to the States, spend all their money over there, then come back expecting the UK GA industry to provide them with a job. They moan about the lack of airfields, cost of landings, cost/quality of aircraft. However, if they had stayed and done their training here, then UK clubs and airfields would have had their money to invest back into fleets and facilities over here.