I've found a map with the port location on the WBTA website...there is a shopping center called Dolce Vita that is very close to where we will be docked. Here is a description of it from a Madeira shopping site:
Dolce Vita
This is Funchals newest addition to the shopping scene. It has an excellent central location in downtown Funchal, next to the Santa Caterina Park, just 2 minutes away from the Marina and behind the main road avenida de arriaga. It is a large, modern mall with around 70 shops as well as a tasty food court offering anything from Burger King to Sushi. There is also a Health Club and a large Pingo Doce Supermarket and all this is serviced by a spacious car park that has a capacity for 900 cars. On the streets that circle the centre you will find many small boutique shops and one off designer establishments. Above the shopping mall is The Vine Hotel, a stunning place that overlooks all of Funchal. Lunches and coffees are reasonably priced and combined with the view from the outside terrace and the beauty of the infinity pool you will find that it complements the food perfectly.
Here is the website for Pingo Doce:
http://www.pingodoce.pt/default.aspx
Perhaps someone else will have better luck that I translating what they have. It says it's a supermarket, but not sure if they have liquor and all that jazz...