I have also had concerns about training in Aussie and the worry of eventually having to convert to JAA.
I have posted a few threads myself and people have offered all sorts of advice. At the end of the day flying is flying!! Get your CPL/IR and gain all the experience you can out here in Oz. The conversion will cost you around 15,000 pounds plus the extra study or course. Add it to the cost of gaining your CPL/MEIR over here in Oz ($35,000) and with the exchange rate at 2.8, that is a steal!!
I'll probably get slated for this but I say 'bollocks and go for it!'
All the best and good luck!
Help me OB1... your my only hope