It appears to me that they did a little of both. It is quite possible that the glasses were shot separately and with different lighting. Telltale signs are things like the shade of the black backdrop in the white wine glass and soda glass (dark gray) versus the red wine glass (black). Also, remember that red wine is much darker than white wine and, thus, requires a longer exposure time to show the lighter red illumination in the center.
My guess is that they lit and shot each glass individually with white softboxes coming in from both sides and top to illuminate all of the edges of the glass. Then, they brought each glass, one at a time, into the new composite photo in Photoshop as layers, with a solid black background. Unwanted reflection spots could then be cloned out and new highlights and shadows could be added to the areas such as the rounded bottoms of the goblet portion of the glasses. Personally, I would like to have seen a little more reflection on the sides of the upper portion of the glasses, above the wine line, to show more dimension there.
On a side note, a tip for getting your club soda to have lots of bubbles is to sprinkle some Kosher salt in the glass just before clicking the shutter release button.