After a recent trip to Mexico we had a nasty duty free surprise. We'd bought a couple of bottles of Tequila and Kalhua at Mexico City airport duty free before boarding a flight to Amsterdam where we would transfer to a flight back to London. The bottles were sealed in a plastic bag with ties that you had to cut to get the bag open. But that made no difference at Amsterdam's Schipol airport.
We had to go through another security X ray before boarding our short flight to London and because the bottles had not been purchased at an EU airport they were confiscated. I understand why this happened... we were taking liquids on a plane that had not passed the (presumably stringent) security measures for them to be sold in EU airport duty free shops. But in practice it's nonsense. If I was a terrorist I'd have already blown the 747 we caught from Mexico City to Amsterdam out of the sky anyway... All baggage was x-rayed at Mexico City, but no one took the slightest notice of the bottle of water in my hand luggage. What was particularly annoying was that there were signs at Mexico City duty free that suggested it was perfectly OK to purchase liquids there. This is only the case if your destination airport from a non-EU country is your FINAL DESTINATION and you're NOT changing planes...