I've bought directly from the winery in the past, but only at places where I've been able to actually either taste the grapes at harvest time or barrel taste the wine after that. I have never blindly bought futures.

With some small production wines, it's the only way to get them, as they usually sell out at the future stage.

If you trust the winey and winemaker and the vintage is good, it's hard to get burned. But I would never just buy futures without doing a ton of research first, without knowing anything about it at all just because it's a future.