My country (Ukraine) is not EASA member, so I am also thinking about getting the Ukainian CPL (ICAO standard) and convert it into the EASA ATPL (frozen). Taking into consideration current price for flight hour in Ukraine (due to ecomonical problems it is the lowest in Europe at the moment), this way (first ICAO, then convert to EASA) looks even cheaper comparing with complete study somewhere in EU.
So, even an ICAO license is not waste of money. I checked with different flight schools, it can be relatively easily converted into EASA one.