Wine investment, except for wine funds, are not regulated. So if things do go wrong there is no compensation scheme.
See also the WSTA (Wine & Spirit Association) wine investment guide.
Advice on avoiding some of the pitfalls that can be involved in wine investment. News of wine investment scams. Say no to cold callers. Don't buy investment wines from companies you don't know or haven't checked out. See page (right hand column) of companies from whom I wouldn't buy wine.