EASA and ICAO licences constitute the approved pilot licence certificates. To clarify EASA vs other license types. The difference is as simple as the ability of converting your license later in your career. To convert EASA to FAA takes 2 days – 1 written test and 1 flight test – the same for other non-EASA authorities.
Converting your license from another authority to EASA will take on average 6-9 months, as you will need mandatory theory classes and 13 written exams plus obligatory flight training and flight test. This alone will cost circa 10-15,000 euro. So, start with EASA and you have greater flexibility in the future.