Yeah they want people to buy from the bar but also to encourage people to go down to the bar and be social rather than stay in the rooms. We always kept a large bottle of water in the room without any trouble.
Last year we took a bottle of vodka that we got duty free. We hardly drank any of it in two weeks anyway and ended up giving it to Magda the waitress.
It's perhaps a little harsh but they are not off hand with you. I think our vodka got a 'tut, tut' and a smile from the girl at reception when she told us we shouln'd take stuff into the rooms!
Also, they do have 24 hour room service if you do need anything which is great if you don't fancy the walk all the way down to Supermaket Toni (which is right next door, LOL).