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There's no wine shop near the pier, but there is a very good one at a 10-minute walk away. It is called Servir Frais (www.servirfrais.com) and you can get there by crossing the pontoon bridge and just walking stright ahead paralel to the water. You can also ask the tourist information people, they will know where it is.
The prices are cheaper than in the US, but more expensive than in France (if that's any help).
PS: if you go there, be sure to ask for Mundo Bizarro (www.mundobizarrocuracao.com). It's a great little restaurant around the corner of the wine shop. You'll be the envy of the entire ship if you have lunch there and take pictures