Hmmm, not entirely correct but it is a bit of a minefield. Since the UK CAA seem to make up the rules as they go along these days, you won't get a definitive answer unless you ask them (and wait a few months for a reply). However, the JAA requirements regarding state of licence issue are fairly clear.
Since you currently hold a PPL issued by the CAA, the UK is your default state of licence issue. This means that any future JAA licences and ratings must be issued by the UK unless you elect to change your state of licence issue. However, you cannot do this unless you meet the residency requirements (i.e you must live in the new state for at least 185 days in each calendar year). The UK will not issue a licence based on flight training conducted in another state, if you wanted to complete the CPL flight training in, say, Spain, you would first have to establish residency and then apply to change the state of licence issue so that you would get a Spanish issued licence (assuming that Spain accepts the UK theoretical knowledge examination credits).
Under the EASA Implementing Rules, it will be a little different. Although the term 'state of licence issue' is not used, the same concept remains in regard to the 'competent authority'. Applications for the issue of licences, ratings and certificates must be made to the 'competent authority' that issued an individual's first licence and/or that holds the individual's licensing and medical records. You will be able to request a change in 'competent authority' (apparently without meeting any residency requirements) and you will be able to undertake flight training in any EU member state for licence issue.
The only restriction that remains is that all of the theoretical knowledge examinations for a specific licence or rating must be taken in the same member state, although it doesn't say that this must be the same state in which the licence is issued. In theory, therefore, you will be able to sit the TK exams in one country, complete the flight training in a second, take the skill test in a third and have the licence issued by a fourth.
This is fine because, as we know, all EU countries maintain exactly the same high training standards. Don't they?