As you say there are pro's & cons.. I thought about states for training, but didn't think i'd save that much £/$, after license conversions, maybe just the timescale. I went there to time build instead. If you want a job in UK, maybe better training in UK.
My 10cents - do the atpl study before the time building, that way if you find the exams to be a problem, you haven't forked out for the flying time.
And, you'll have the flying as sweet reward for the hard-worked theory.
Maybe also, you could apply some aspects of what you learnt during the theory..
Good luck!