I also agree there's no reason to be embarrassed about it.

I would just take the gift and thank them, and like WillyNilly said, see it as a future gift to someone else that you now don't have to purchase. I get not wanting to store it, though, especially for a long time. A few months after the gift was given, I would find an opportunity to mention casually that I couldn't drink red wine at all to that friend, and hope they put two and two together.
Honestly, for a friend, I would rather belatedly realize I had mistakenly given the wrong thing
once, and correct myself in the future, rather than feel like they had to hide my mistake from me forever, potentially allowing me to make it over and over again. Surely there must be some joke about a person quietly collecting something from people for
years, only to have them discover a huge cache in the closet because she actually hates it but never wanted to say anything?

I'm not sure if it's common to donate alcohol to places or not; maybe a local wine store could suggest places that would take it? Anyone know of any non-edible uses for wine, like in crafts or gardening? I know my mom once had me get her some beer to put in one of her compost bins to help it digest better.