Well, I don’t know about “should,” but I wouldn’t care to consume or serve sweets with wine or beer. A birthday cake, for instance: no champagne for me. I’ll take a glass of milk, and save the champagne for later.
A company I used to work for had an afternoon event once a month during nice weather, called (and featuring) beer and cookies. That sounded seriously unappetizing to me.
Waiting—naively, perhaps—to see how this Q attracts NSFW answers.