Got rejected from the Chevening shortlist. What feedback would you ask for?

Three questions, in order:

1. "Was there a section of my application that was specifically weaker than peer applicants?"
2. "If I were to apply again next year, what's one thing you'd tell me to change?"
3. "Are there any other awards or programs you'd direct someone with my profile toward?"

Don't ask why you were rejected — that gets a polished non-answer. Ask what was weaker and what to change. Specific beats sympathetic.