Because you're putting your business, and in this case a serious...

Because you're putting your business, and in this case a serious business, in the hands of a third party that can (and have) pull the plug on people because they just don't want them on their platform anymore. Shopify is a hosted service with their own set of terms and conditions that can change at any time. They are also expensive in regards to processing/transaction fees as that's how they make their money.

There are numerous ecommerce platforms that can be easily developed and are 'off the shelf' just as much as Shopify with integration to 3rd party channels and software. The difference is the business owner has control over their own product. Shopify is a relatively new service for people who just want to sell online as easily as possible and don't have the technical experience to build their own store.

If they can't go to the effort to deploy their own ecommerce store than it makes me wonder if these ebay and Amazon partnerships are nothing more than just signing up as a client to sell on those platforms. Anyone can do that. The ebay MoU for example reads as nothing more than Wine Depot is going to add listings to ebay on behalf of a client via ebay's API which is available to anyone and most modern ecommerce solutions. All Wine Depot is doing is picking the items from their warehouse but they're selling it to us through a flowery announcement that they've organised a special deal with ebay. Amazon is probably the same: they've signed up as a seller on Amazon and plan on listing their inventory via the API. Nothing special about this at all and all out of the box for a modern ecommerce solution.