I have had 2 bottles of wine waiting for me in my cabin. One was sent from Princess and one was sent from my travel agent. I brought the white wine to the dining room and left the red wine in the cabin. I wanted the white wine chilled and had it with dinner. I drank the red wine in the cabin since it didn't have to be chilled. However, this isn't answering your question. I am assuming they'll do it either way.
On the occasions I have received wine, there was a voucher in the cabin that I presented to the wine steward in the dining room. I'm sure I could have taken it to the cabin if I had wanted, but we just drank it with dinner.
My wife likes to take home such things to open at special occasions. Where else do you see a bottle of wine with a Princess label? Myself, I don't care either way. It's only something else to weigh down the suitcase.