I know the GCAA try very hard to keep high standards (been there done that), but you have to look at the acceptability around the rest of the world, as an ICAO licence. It shouldn't really be a problem, but stil.....
If you only want to fly in that area, then use their system, but the costs might still be higher than just doing an EASA licence, which they will accept anyway. I know that Qatar, in the case of helicopter pilots certainly, will accept EASA pass results to issue a Qatar licence.
One aspect oof flying in Europe is that it will improve your nav skills - it's pretty hard to get lost in Dubai, unless the burj is fogged out
Phil