Heat a large pan over high heat and add olive oil and sauté the onion until translucent. Add the tomatoes, Shrimp Dip Mix, and cayenne pepper. Bring to a boil and let simmer for 10 minutes. Add the red wine, and let simmer for another 5 minutes. Add the shrimp and mix into the sauce. Top with the feta cheese and continue to let simmer and continue cooking until shrimp are cooked to your liking, about 7 to 10 minutes. Stir in the cheese and serve.