Correct!I think the slope would change throughout the QQ plot since both tails of the T-dist are fatter than the Normal? There's some helpful diagrams here: https://stats.stackexchange.com/questions/101274/how-to-interpret-a-qq-plot

Also had no idea on the scaling liquidity cost with VaR/notional.

The GEV question was worded very oddly--they appeared to include the u parameter (from GEV, which must be estimated) and the threshold level (from PoT, which is chosen) which I thought were mutually exclusive?

Please find the link to this website, where you have the chance to change the degrees of freedom to see how the qq plot is drawn:

https://rpsychologist.com/d3/tdist/