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When you leave them, you also leave the resource nodes etc. behind that this market provides
- their market is importing from you a lot of the resources you need;
- you plan to challenge GB economically and/or militarily.
Plus have shipyards(and their input goods), ports and extra admin capacity ready to start establishing trade routes to import your resource good shortfalls.
Since last thing you want to discover after leaving the GB custom union is you have a wood and hardwood shortfall which trigger a tools, clippers, and paper shortfall.
Also a good idea to save before leaving, then leave to see what your shortfalls are. Then reload the save.
You can still take land while you're in the GB's customs union, and personally I'd probably wait to start an independent union until I had better immigrant attraction and a few sulfer/oil deposits. Just keep your infamy in check so you don't get kicked out and isolated.
Granted, same thing can happen when you - join - a big customs union, because that changes your supply/demand pretty dramatically.
So all in all, you might need to pause, and go around doing some math to see if you can support your necessary industries. As Bolivia-Peru, I rejected a GB customs union because I saw that they were severly lacking in ironclads and other resources that I had achieved balanced production in. Had I joined, those goods would have become a lot more expensive for me, and that would blow up my budget and weaken my military.