If you decide to leave the luggage tags off and retrieve your bags yourself, you need to be aware that the bus driver will expect a tip for stowing, and unstowing, your bags. Yes, gratuities are included when you use DME, but they are included only if you use it the way Disney asks that it be used..with luggage tags. If you get your own bags, you need to plan on tipping.
If I were to arrive late, after 8 or so, I would still tag my bags, but I would have packed my clothes for the evening in my carryon bag, as well as clothes for the next morning.....just in case. I don't worry about DME messing up the bags but the airlines! They do sometimes misdirect bags.
Then, I would be sure I tell the front desk I want the bags held until morning, then stop at Bell Services and tell them the same thing, then put out the 'do not disturb' sign on the door before bed.