If we didn't have to sign up to a CAA-approved course, not only could people study themselves at home (bad idea I think) but we could go to classes anyplace in the JAA world (someplace with cheap living costs!). But yeah, if you're converting a full, non-JAA, ATPL, then that's a special case and you can get a reduction in the requirements...
JAR-FCL 1.016 covers it:
Applicants must undertake ATPL(A) theoretical knowledge instruction as determined by the Head of Training of an approved training provider, and pass ALL of the JAR-FCL theoretical knowledge examinations at ATPL(A) level;
NOTE 1: ATPL(A) holders who have a minimum of 1500 hours flying experience as PIC or Co-pilot on multipilot aeroplanes (or single-pilot aeroplanes operated by 2-pilots according to operational requirements) and hold a valid multi-pilot type rating for the aeroplane to be used for the ATPL(A) skill test and have at least 500 hours experience as pilot on that type, will be exempted from the requirements to complete an approved TRTO course or undergo approved training prior to undertaking the theoretical knowledge examinations and the skill test. Pilots with less than 500 hours experience as pilot on the type to be used for the ATPL(A) skill test will be exempted from the requirements to undergo approved training prior to undertaking the theoretical knowledge examinations but will still be required to complete an approved type rating course.