Weather in AZ is just great for start flying and learning basic skills. I don't think that a first solo would be more effective from the training point of view if the weather was "challenging". Also az is not always CAVOK, winds do pick up quite quickly and many times solo nav flight have been cancelled by students due to winds getting stronger for the time of arrival. sand storms and excessive heat are common factors out there that you don't get so much often in other parts of the world, but do pose a potential risk.
In addition to that, the IR training is done in the UK where the weather is more "interesting", but it's part of the training. You can't expect a student pilot to be ready to make all the decision right away after his first solo. Training is gradual and weather dependant decision are among the most challenging one have to make in general aviation, in my opinion of course
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