Correct. Of course there was a difference in taste, but it was clearly within statistics that there was no correlation between favorite to least favorite and most expensive to least expensive (top-self vs bottom-shelf).
That said, I am not a Vodka drinker although my wife is. She has tried them all and prefers Svedka currently for it's taste and price.
In wine I think that is not the case, at least in personal experience, and I believe research agrees with me though don't have sources for that. Champagne less so... I do prefer more expensive for that.
Whisky (single malt scotch, to be precise) I do think that on average, more expensive is nicer. Not to the extent that I would always buy more expensive if I don't know two bottles, and there are plenty of examples of cheaper being better (some of my favourites are in the £40-£60 range), but the higher end of the price range opens up some fantastic drinks as well, and typically the 5-10 bottles I have at home will range from £40 up to £500, because I personally think some are worth that. Whereas I'd never go that high with wine, unless I wanted to drink it purely for the sake of drinking something expensive. (Of course, a bottle of scotch lasts longer than a bottle of wine, but.. I'd never spend £60 on a bottle of wine at shop cost, and most of the time drink £5-£20 bottles.)
Bottom shelf tequila is bad, no blind taste test is going to prove otherwise. However, if you are just going to be mixing it into a margarita to get people lubricated, it's probably fine.
Whiskey is generally just drank chilled over ice or stones (or nothing), so flavor matters greatly.
Whisky, like vodka, if mixed (say a whisky and coke) is very noticeable what the taste is - though I'm not a fan of this at all, as I consider it a waste of whisky if it's good, and an inferior drink to other mixers if it isn't.
Have to say that when drinking cocktails (as opposed to mixers) I've never paid too much attention to the specifics of the spirits in them.
Certainly anyone who can't tell the difference between vodkas hasn't drunk much vodka (obviously some may be very similar to each other). I suspect the testing grandparent is thinking of would show that price does not correlate with quality, not that they are all equally good. I'm not a vodka expert (my taste sounds similar to yours, in that I prefer GG over Smirnoff, and a couple of others, but I don't drink it often), but I'm pretty big on wine and whisky, both of which it's very much the case that price doesn't always correlate to quality.