I will take a crack at this one. Others will soon follow.
First of all, I have no idea what GCSEs or A Levels are, I just know that Will from the Inbetweeners crapped himself during his exam. As you can imagine, I have no A levels or GCSEs. After having been to several flying schools around Europe to include the UK, only one school ever asked to see school transcripts and that was a school in Portugal. If you go integrated, your mileage may vary but I have no experience in that field.
I was always pretty decent in Math and Science, so I found the ATPLs relatively easy apart from the quantity. You will never really need anything beyond some basic geometry, trigonometry, and algebra.
As for University, I would say get a degree in something besides aviation as a back up. I got my degree (in the USA BTW) in acting and world languages so before I did the flying thing, I was a spy for a few years. Just kidding, but actually I got a degree in multiple languages and as a result I worked in military intelligence for a few years. If I really wanted to, I could go work for one of many intelligence/law enforcement/govt agencies in the US, but like you, flying has always been my passion and goal since I was a little boy. (how little may may you ask? Well, I was already weened off breast milk). Anyway, I think a backup is a good idea.
As far as the FAA or JAA, I did FAA first as I'm a US citizen, but my wife is European and we moved to Europe so I did a JAA conversion. I would say that there are probably more opportunities to build hours in the US in general aviation, and perhaps more opportunities to get to a regional airline, but as you know, regional pay isn't that good to start out, neither is instructor pay (no matter which side of the pond). But you are young and I imagine still sigle. FAA will definitely save you some money, and if you do it without debt, instructor pay is survivable. You can work on your conversion from there if you plan on moving to Europe. For me, USA vs Europe is a personal choice as I find Europe a bit nicer and better quality of life, plus my wife's family is here, but you may feel differently plus you are young with quite a bit of time left to live where is best for you. FAA license is definitely cheaper and easier to maintain. If you get both FAA and JAA, and with your dual citizenship, you will be very flexible. If you fly for an airline in the US, you may qualify to carry a gun which I think is cool, my wife doesn't think it is cool though
Best of luck