"Isn't another reason alcohol is expensive in GC, due to the 35% tarrif or whatever on alcohol, plus the additional 25% exchange rate penalty?"

Yes, the Duty around 40% (varies by type of liquor) is the main reason for the exorbitant prices. God fearing country and all that...

Only advantage to buying liquor at a US Duty Free store on the way to Cayman is being able to avoid having to check it in your luggage (like if you bought it a home). Doubtful it will be cheaper there, but it stands a better chance of making to GCM.