The best small grocer in French OP for food and general selection (not the best for liquor/wine) is a reasonable walk directly north of the Captain Olivers resort. The best local selection of liquor/wine is about the same distance west from the first.
Not familiar with what is available at the place next to the Dinghy Dock. Will have ample chance to check it out this next fall. Dinghy Dock itself is quite close to the ferry ticket booth.
I have found the store near the wharf on the Dutch side to be pricier.
If you have time in late afternoon or evening, wander over to the Iguana Bar just past the Cptn Olivers dining area. Great view and breeze coming in off the bay.