I found this out the hard way. In April, I was scheduled on a 6 a.m. flight. It was delayed several times, then eventually cancelled. The airline could not get me on a flight until early evening, but my suitcase was sent ahead. When I arrived in MCO at 9 p.m., no one knew where my bag was. After spending an hour looking and talking to Customer Service, someone thought to check with Disney. My bag had been taken to my hotel, even though there was no yellow tag.
I was glad to have found it, but not so happy that they picked it up without a DME tag.