I have used Expedia in the past. They get a Disney confirmation number you can link in
MDE and from that point, there’s no difference in your vacation experience. Once your reservation is linked, you can request your magic bands. You can link tickets to MDE anytime, before or after booking a hotel. The Magicband reads what tickets are active in your MDE account, which doesn’t really have anything to do with a hotel reservation other than allowing you to book FP at 60 days when staying on property.
The only issue with using any third party, whether online or a regular
travel agent, is if you like to make changes to your reservation. You have to go through the third party to make those changes instead of going directly through Disney. I have found it’s usually easier to make a new reservation and cancel the old one than to modify an existing reservation. The refund and new charge have always hit my card at the same time, and I can make the change in my own timing instead of having someone else do it. I don’t make changes very often, so I would say 99% of the time my reservation stays just as I initially booked it. There are a lot of people here on the DIS that tweak their reservations constantly. If you typically make a lot of changes to your booking, it’s probably better to stick with a direct reservation.