Better prices on Korean exchanges. Are there any disadvantages to using them?

[tomsteve]

I'm based in the EU and I've noticed that some of the big exchanges in Korea (such as Bitthumb and Coinone) have much better exchange rates than EU-based exchanges like Bitstamp (currently the equivalent of $2.50 vs $1.90 per XRP between the Bitthumb[Korea] and Bitstamp[Luxembourg]).

Apart from the 2nd currency exchange (from Korean Won to Euro/USD), are there any other disadvantages to using a Korean exchange (with better rates) instead of a European one? Would there be any additional taxes in this case?