It could be that this passage about the "jolie blonde" is the biggest red herring, and contains a very big mystery of the case. It is when Inspector Parker is in the jewelry shop on the Rue de la Paix. He has recognized the duplicate of the cat that was found in the garden at Riddlesdale near the corpse of Cathcart.
The majority of the staff failed to recognize the photograph, and Parker was on the point of putting it back in his pocketbook when a young lady, who had just finished selling an engagement ring to an obese and elderly Jew, arrived, and said, without any hesitaton:
'Mais oui, je l'ai vu ce moseiur-la. It is the Englishman who bought a diamond cat for the jolie blonde. (105)
For most of the novel this points squarely at Lady Mary, a pretty young blonde woman. This puts Lady Mary in jeopardy (as her brother, the Duke, is in jeopardy now for Cathcart's murder) for the murder, as this trinket was found near the corpse.
Very near the end of the novel, we find out that the jolie blonde was actually Cathcart's mistress, (who was the instigation for Cathcart becoming engaged to Lady Mary in the first place, for the noble lady's money,) a blonde of disreputable character, whom Wimsey finds dramatically, and obtains from her the evidence of Cathcart's suicide just in time. This one piece of evidence, from the female jewelry shop assistant amid all the other red herrings, puts the suspicion on Lady Mary, or her brother, for the greater part of the book.
The Duke's mistress, the beautiful and downtrodden Mrs. Grimthorpe, is perhaps the character who evolves most in the novel. From being beaten and dominated by her husband, and conducting a furtive affair with a nobleman in the beginning of the novel, she comes into her own after Mr. Grimthorpe's death. Here Wimsey is talking to her about buying clothes while she is London,
'I have money,' she said; 'I took it from his desk. It's mine now, I suppose. Not that I'd wish to be beholden to him. But I don't look at it that way.'
'I shouldn't think twice about it, if I were you,' said Lord Peter.
She walked before him into the shop-- her own woman at last. (276)
What this quotation illuminates is that Mrs. Grimthorpe will not ruin the Duke's marriage. He will go back to the Duchess, and Mrs. Grimthorpe, free of the horrible Mr. Grimthorpe and in possession of money and property in her own right now, will exit their lives and live independently. It is a little pat, I will allow, for the ending of this mystery, but apparently Mrs. Grimthorpe is class-conscious enough (or morally upright enough) to not lay emotional or financial claim on the Duke. So, though the Duke looks like a fool to everyone -- especially his wife -- he is acquitted of a murder of which he had nothing to do, and is able to go back to his wife and his comfortable nobleman's lifestyle. We are not to worry about Mrs. Grimthorpe any longer, because she is free of the main torment of her life.
Source: Sayers, Dorothy L., Clouds of Witness. (1927) New York: HarperPaperbacks, 1995.