DME picks up everyones luggage when you arrive at MCO if you are signed up. It is the return trip you need to know the participating airlines. Alaska is not participating but all that means is that you will have to check in and receive your boarding pass at the airport and transport your luggage on the bus with you. If you can get the resort to check in and print your boarding pass you still would have to check in your luggage at the airport.
Try doing a search for Magical Express instead of Magic express. There have been many posts on what airlines are participating.