Yes, it sounds like the cave gets locked after you enter, rather than after you finish it.
If you are playing the Developer's Cut version on PC, you can use the Developer Mode cheat window to open locked doors, or teleport into the cave. If you have the PC version of DKS, see here about an upgrade you may already have or be able to get.


No, there is no way to get into the champions' area in the harbour building or the tower there.