Whatever you do, DON'T BOTHER calling your airline -- they have absolutely nothing to do with DME when you arrive at MCO. NOTHING.
The airlines don't care what happens to the baggage after it's out of their control. Whether it's you or DME or your Uncle Edgar picking up your luggage and transporting it somewhere makes no difference to the airline. Don't call them -- they'll have absolutely no idea what you're talking about, and they don't have to.
If you never get your luggage tags or info, never fear. As long as you have DME reservations, you're fine. When you arrive at MCO, go DIRECTLY to the DME Welcome Center. When it's your turn, tell the CM your bags aren't DME-tagged. They'll ask for your baggage claim numbers, and also ask you to pick your luggage out of a photo array. A CM will go to baggage claim, claim your bags for you, and send them on their way with the rest of the DME luggage. Your bags will be treated like all the other DME bags.
Like I said, no worries. Having the DME tags on your bags is convenient and helpful but not necessary for you to get the full DME treatment.
Enjoy your vacation.