That other thread was probably talking about Annual Passes. If you buy an AP ahead of time, you get a voucher in teh mail which must be activated before you can go into a park with it. Downtown Disney is one of many places you can activate an AP voucher.
Regular Magic Your Way passes, however, do not require activation. If they are part of your package they will probably be coded onto your room key cards when you check in. But you definitely don't have to go to Downtown Disney to activate them!