I cooked a 4kg Roe, leg, last month. Roasted like beef. 30 min high heat sizzle, then down to a lower heat.Lots of bacon over the top (real pig lots of back fat). studded it with bacon and thyme.  Great results.
Venison has litle fat, so it needs to have some to prevent drying out.That said if the beast had been hung/dry aged it would of been much better.
Don't marinade it. As Hugh Fearnley Whitingstall points out, this pickles the meat. Wine is great for flavour, but  it is a myth that wine based marinades are helpfull in any way.
Check out Hugh for all things venison.

Have never done anything like this, but it sounds possible. Beef Wellington is usually done with fillet, which is lean and inclined to be dry like venison is. It seems like a good bet that what works with beef fillet might work with venison too.