Enzymes are coated in a special way so that they are absorbed by your gut, which is an acidic environment. Different beverages may affect how the outer capsule dissolves, but the special coating on the little beads themselves ensure that they are absorbed at the right time.
That being said, you should avoid taking your enzymes with things that are very acidic such as sodas, grapefruit juice or orange juice or even some alcoholic beverages.
You must take enzymes with anything that contains fat, so you need enzymes with a glass of milk.