Many wineries sell only in Europe. Many do not ship. But, I don't go to the big, fancy wineries. I tend towards small, family owned, wineries. I don't shop much in terms of souvenirs. I do often bring home wine, olive oil, cheese, coffee, any food that is unique and won't perish. The wine I buy is generally inexpensive. I'm not going to take a chance with an expensive bottle. That, said, I've purchased some really inexpensive, enjoyable wine in Europe (Portugal, Spain, Vouvray, France)
Technically, I believe each person can bring back a liter of wine which is a 1.5 bottles. I often have brought back as much as 8 bottles between the two of us. When I'm asked about my purchases at customs, I say, "souvenir books, dish towels, olive oil, some wine. . ." They have never asked how much. If they did, I'd be truthful. I believe it is about 5% of purchase price (save your receipts) Honestly, I don't think its worth their time.
I'm careful about when I buy wine on a trip. I don't want to carry around a bunch of wine for a whole trip if we are using trains.
I love the bubble wrap/velcro bags I get on Amazon. We also have wrapped wine in our laundry. I do try to slip it in a plastic bag when I have them. Ours is in the center of our soft side luggage, never have had a problem.
I've never brought back champagne, however, my kids have traveled with champagne and more often beer (which is carbonated). They haven't had a problem.