There are currently examples within Ontario and British Columbia, where for the past ten years you have been able to order wine online within the province. As an Ontario consumer, you can order wine directly from a winery, and there haven't been any issues.
The United States has a long list of measures in place to ensure that there is no underage consumption, including the requirement for the courier to get an adult signature and for the boxes to be labelled as containing alcohol. Also, in the United States significant studies have been done to show that wine is not the choice beverage for underage consumers, nor will most teenagers wait a week or two to have delivery when their parents aren't home to receive that case of wine.
If you take a look at the price elasticity of wine, you see that a 10% increase in price to youth would switch their consumption of wine down by about 18%. There isn't an incentive there.