You mean to say that if intentionally untagged baggage doesn't show up, the guest should follow the procedure for guests who did not get their yellow tags, that is, go to the welcoming area and show the CM's the baggage claim checks?
Disney hints: http://members.aol.com/ajaynejr/disney.htm
NO If untagged baggage doesn't show up the passenger should immediately go to the airlines unclaimed luggage office and file a claim. Chances are the luggage didn't make the flight. At that point I'd probably ask the airline and the CM at the DME desk to ship my bags via DME. The bags would probably get to my room faster the the normal airline procedures.
The search function doesn't work great, I'M SURE THE TWO EXAMPLES I REMEMBER ARE EXCEPTIONS one group checked in at their home airport early. The airline sent the luggage down on an earlier flight. The other example was a family that stopped for a sit down lunch. Both families found out that a DME CM pulled the bags out of the unclaimed luggage office and sent the bags on to WDW. I don't know how common the procedure is, probably depends how many bags are in the unclaimed baggage office when the CM makes the rounds.