Practically speaking, is there any difference?
1. It will make revalidation of medical requirements simpler if the State of Licence issue is transferred to the MS in which the pilot normally lives.
2. An IR(R) may be included in a CAA-issued EASA PPL, but not in one issued elsewhere.
3. Adding other ratings / certificates (e.g. night, CRI or FI) should be simpler in the State of Licence issue as the NAA holds all other records.