The prologue is set in 1986, one year before The Living Daylights, the first of the two Timothy Dalton films, was released. A subtle reference (and possible retcon) to the fact that Pierce Brosnan would have played Bond in that movie and Licence to Kill had the producers of Remington Steele not declined to release him from his contract.
It also could explain part of why the two Dalton films seem darker than usual; in the prologue, Bond is chipper with a "buy me a pint" quippy attitude with Alec Trevelyan. Trevelyan is seemingly executed, Bond escapes, and immediately another few MI6 agents are murdered in the prologue of The Living Daylights. This explains Bond's darker attitude across the two Dalton movies, having lost close friends. This gives new meaning to why M is warning Bond against going off a vendetta when they believe General Ourumov to be behind the Severnaya attack, and Bond is also "under evaluation" in the car racing scene because of his rogue actions in Licence to Kill.
The Living Daylights had Moneypenny describe a female, Russian assassin who kills her targets using her 'hands and thighs', telling James that she'd be "just his type". At the time, Bond just shrugged it off and continued flirting; while the character detailed at the time isn't Xenia, since Q names her and there's a picture of her in the background, it's extremely likely that the producers pinched the idea from that scene, given Onatopp's style of killing. In the sauna, she does notably attempt to kill Bond with her thighs, but also has her hands around Bond's throat at one point in a manner that makes it seem Bond is having trouble breathing.
It may seem odd that the first woman Pierce Brosnan's 007 seduces onscreen is relatively plain-looking in comparison to the glamorous babes that we're used to seeing, but considering that the film was viewed as a big risk for Eon Productions,note the mass media at the time were cynical that the Bond franchise could survive after the Cold War the producers had to exploit whatever strategy they could in order to get people to flock to the cinema, and one of these included taking advantage of Brosnan's sex symbol status from Remington Steele. (For instance, the actor's hairstyle in this film is a more subdued version of the bouffant his character sports on the television show.) By giving Brosnan a romantic scene with a somewhat dowdy lady, the subtle message the filmmakers were trying to convey to the actor's fangirls is, "Hey, this new 007 would be willing to shag you, too!" It worked like a charm, as the actor drew in some female moviegoers who'd normally stay away from action flicks.
That is definitely not to say, however, that Serena Gordon, who plays the psychological evaluator riding with Bond in that scene, is by any stretch homely.
In the opening sequence, Bond gets suspicious when he notices that he and Alec have had zero difficulty breaching what should be a very secure area—"It's too easy". Alec completely dismisses his concern—"Half of everything is luck, James." It seems highly irresponsible of a trained agent to react this way—until later in the film when Alec is revealed to be a traitor. He wasn't concerned because it's precisely the setup he wanted.
Before Bond discovers that Alec is being held at gunpoint, listen closely. There's no sound of any kind of struggle that might suggest that Alec is being overpowered by soldiers and forced into a hostage position. Because he didn't need to be; the whole thing is a set-up.
Some of the lyrics of "GoldenEye" foreshadows the fact that someone close to James is a major antagonist. With the reveal of Alec and his backstory, the song will make sense.
If the song is from Alec/Janus' perspective, it also hints at his employment of Xenia, she being the 'honey trap I've got for you tonight' and the 'revenge is a kiss' of the song's lyrics, given her being sent to seduce and murder Bond in the evening; what's the very nearly first thing she does? Kiss Bond, with violent results.
How did Janus set up a headquarters complete with underground base, satellite dish and private army in the middle of Communist Cuba? He's an arms dealer, so therefore Castro must be a customer, so a few deals were made.
Either that or - depending on when the facility was constructed - Ouromov used his influence in the Soviet/Communist heirachy to have it constructed - presumably not difficult post-Chernobyl as the CCCP slowly dissolved and attention would be on Eastern Europe.
What's our first glimpse of Alec Trevelyan, the man who will go on to be the double-agent villain of the movie? Him in the shadows, pointing a gun at Bond, barking at him in Russian.
Bond's coy car race with Xenia and her determination to win becomes a lot more uncomfortable after the reveal of her nature as a sadist, assassin, and Sore Loser, meaning that she might have driven through that group of bicyclists if Bond hadn't let her win the race.
Possibly, though her Sore Loser tendencies seem to be hissing curses, and while she is a murderess, we only see her do things in situations in which she can get away with it; Severnaya's massacre is covered up, her murder of the Admiral is presumably cleaned up by Janus underlings - and it's likely Bond would have gone the same way had she had her way in the spa. Ploughing through a bunch of people would draw too much attention and ruin her car.
The entire chase scene becomes this with a little thought. Contrived Coincidence to have James set up with a femme fatale who will be a Romantic False Lead and then The Dragon for the rest of the movie? Or having the Janus Syndicate's shadowing of one of its top targets being given to one of its more impulsive assets just before the Monaco and Severnaya operations? Trevelyan's dialogue makes it clear he always intended to settle the score with his old friend, and while he might not have approved of Xeniaattracting Bond's attention so directly it stands to reason he would be keeping close tabs for when he can finally deal with him.
