Proof.
Proof of (1). Write \mathcal{J} as a direct summand of \mathop{\mathrm{colim}}\nolimits \mathcal{F}_ i with \mathcal{F}_ i = (Z_ i \to X)_*\mathcal{G}_ i as in Lemma 75.12.2. It is clear that it suffices to prove the vanishing for \mathop{\mathrm{colim}}\nolimits \mathcal{F}_ i. Since pullback commutes with colimits and since U is quasi-compact and quasi-separated, it suffices to prove H^ p(U, \mathcal{F}_ i|_ U) = 0 for p > 0, see Cohomology of Spaces, Lemma 69.5.1. Observe that Z_ i \to X is an affine morphism, see Morphisms of Spaces, Lemma 67.20.12. Thus
\mathcal{F}_ i|_ U = (Z_ i \times _ X U \to U)_*\mathcal{G}'_ i = R(Z_ i \times _ X U \to U)_*\mathcal{G}'_ i
where \mathcal{G}'_ i is the pullback of \mathcal{G}_ i to Z_ i \times _ X U, see Cohomology of Spaces, Lemma 69.11.1. Since Z_ i \times _ X U is affine we conclude that \mathcal{G}'_ i has no higher cohomology on Z_ i \times _ X U. By the Leray spectral sequence we conclude the same thing is true for \mathcal{F}_ i|_ U (Cohomology on Sites, Lemma 21.14.6).
Proof of (2). Let f : X \to Y be a morphism of algebraic spaces over S. Let V \to Y be an étale morphism with V affine. Then V \times _ Y X \to X is an étale morphism and V \times _ Y X is a quasi-compact and quasi-separated algebraic space étale over X (details omitted). Hence H^ p(V \times _ Y X, \mathcal{J}) is zero by part (1). Since R^ pf_*\mathcal{J} is the sheaf associated to the presheaf V \mapsto H^ p(V \times _ Y X, \mathcal{J}) the result is proved.
\square
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