The shore dive off Coconut Bay, "Hepp's Pipeline", is a fabulous dive shallow or deep, and if you are energetic, you can even swim out to the main wall and peak over.
The shore diving off Cobalt is excellent as well, but as mentioned, is more subject to weather. End of March, you are likely to have some days where it is diveable.
If you have a rental car, you can always nip around to the more sheltered shore sites on the west like Turtle Reef, Lighthouse or even Sunset house. I agree that it would be a shame to go to Grand Cayman and not experience the wall diving for which the island is justifiably famous.
Our usual on GC is to rent a condo and a car, boat dive AMs and shore dive PMs and nights. Makes for a nice balance.
