My input would be that it is a concern for the very high end, very old wines, usually reds, where movement and temperature disturb the sediments and re-introduce some flavor components back to the wine. Another concern if you expose wine to high temperatures.
It can be a big concern if you stick cases of wine in a shipping container, haul it across on the deck of a ship, or ship it home from Europe where you know not the conditions of travel.
For the most part, buying a few bottles and sending them home in your luggage with minimal handling and likely not extreme high temperatures, is not much more different than buying a bottle from the local store. This is especially true of the types of wine and vintages I, you, or anybody on this forum would buy.
It is worth mentioning that in the movie "Bottle Shock" the issue with the wine did not occur with transporting the wine to France, but in the production process through an Oxygen Reduction reaction in white wine that caused the wine to turn brownish, which resolved itself with time. That is not an issue you would encounter with buying and bringing wine home.
As for being disappointed with the wine at home, I can only relate an example I have noticed with other travelers and myself, I can have a Red Stripe beer on the beach in Jamaica, laying in the sun, and it tastes GREAT!!!. Buy a six pack in the states...meh. Same with that beer at Oktoberfest, a wine at the little restaurant in France, basically the atmosphere can make the experience.