Any examiner can refuse to conduct a test, and if company policy is not to do the ATPL skills test until after a command check then no company examiner will do a test outside of those circumstances.
Therefore, in order to gain your ATPL through the method you are suggesting, you would have to get a freelance examiner, a second rated pilot and a sim all off your own back, looking at a few thousand £s to put that together.
If you go get your CPL, will you even be able to add your type rating to it, as without it you won't be able to do a multi crew LPC in order to gain your ATPL. Again, this may simply be company policy, their manuals are approved by the authority, and to go freelance to get an ATPL while working for them may be seen as breach of contract.