Is this a hunch or have you verified this?
Part of the the prices are so high because of the 83% sales tax on vehicles. Moreover, foreign visitors are excluded from some of those (e.g. 18% VAT)
About which part are you asking if it is a hunch?
About the price of the cars - verified
They can likely charge a CC over limit - hunch (obviously not 40k on a card with a 1k limit, but maybe 30k on a card with a 25k limit?)
Block exit from IL over large debts - verified
The fact that a foreigner has vat suspended on his purchases is irrelevant. You aren't personally buying the replacement car if you total the rental car, and even if you did, you would be liable for almost the full sum of taxes anyway when you transfer title to the rental car co... and you wouldn't be exempt in this case regardless, as a car bought with tax exemptions can only be driven by the purchaser and their spouse.
In any event, all these calculations are only relevant if you severely damage or total the car. Decide what your level of risk aversion is, and make your decision. I only brought it up bec you asked if there was anything you were missing.