NO they don't, you could order a SunPass but it probably isn't worth it just for the ride from MCO to WDW. Until recently FL didn't even have one transponder that would work with all the tolll roads in FL.
We actually ordered and have been using SunPass in rental cars when down there. Tho we have EZ Pass accounts in Maine and Mass, we decided that it would just be easier to have a transponder in Florida as well. Of course we mainly use it on the Greeneway between MCO and WDW, but last month we did quite a bit of toll road travel in FL, such that the $25 or so deposit on the transponder should be fully amortized (from the toll discount) in the coming year.