I got yelled at for taking a bottle of seltzer to my room from a Crowne Plaza lounge (TLV). So yeah this seems to be a thing, but I've never been told "no" when I've asked if it's OK to take a glass of wine up I'd bought at the bar.

Earlier that week, the same lounge dragon offered me a nearly-full bottle of wine when they were closing for the night. I took it, of course.