We had a similar experience a few years back in WT, just before they changed from the 777 to the 747 on the LAS route (and before I had got to grips with the wisdom of MFUing to CW!).
I was sitting in a bulkhead seat and chatting to the crew member seated across from me as we came in to land. She told me that all of the alcohol had been drunk during our flight and that the return passengers weren't going to be happy. She told me the same as CIHY... they load in LHR for both outbound and return legs.
I did write about this on the Air Travel forum at TA at the time, and a few of the regulars on there were disbelieveing that the plane had run dry. Sounds as if it's a fairly regular occurrence on this route (in WT at least), and whilst I appreciate BA's reasons for wanting to restrict the quantity of alcohol available, there really does need to be a fairer way of ensuring that passengers departing LAS are disadvantaged.
Probably unsurprisingly, no such issue was apparent when we flew the same route in October, but in CW!