Nowadays alcohol free wine is also sometimes available. Now is seems that this wine has less taste and flavors in it. The cause for this is that alcohol seems to the capability to keep these flavors longer inside the wine. But how can alcohol do this?
First of all, ethanol has its own smell (which we perceive as taste), it also can stimulate pain sensors in the mouth. Therefore alcohol free wine will taste different.
The process of separating alcohol from wine is quite invasive: the water/alcohol is separated from flavour and colour compounds by reverse osmosis, then the water is distilled to remove alcohol, the water is added back, to the concentrated wine flavour. This process is surprisingly good at not removing anything but the alcohol, but it does change the flavour. Other small light volatile compounds are lost by this process. Tannins are also lost in this process, resulting in reds that lack body
Next the presence of alcohol helps some aroma compounds to evaporate. This means that the aroma of the wine changes. The scent chemicals can't get into the air without alcohol to carry them.
Finally, of course, the best wine is sold with alcohol. When you drink non-alcoholic wine, you are usually drinking a lower quality source wine.
I don't think it is necessarily the ethanol (alcohol) that keeps the flavor in wine. It is more about the wine-making process. Oenology, is the study of winemaking in case you're curious.
During wine fermentations, yeast is often added to a fruit-must, such as that from grapes. Sugars like fructose and sucrose are often fermented to give a sweet flavor. And during fermentations, other biproducts like acetate, acetaldehyde, or glycerol are also produced to give wines a distinct flavor.
In an alcohol-free wine, I would imagine that there is no fermentation, and therefore no "wine-chemicals" are produced. Or, if the ethanol is removed, other sensory chemicals are probably altered or removed in the process.