I called Disney today and told them I hadn't received anything yet and they said that is no problem at all... I just need to bring my luggage claim tags to the ME desk... as we already discussed here.
However, she did notice that I was coming from Canada and said if I had been flying out of Canada, I would have had to pick up my own bags at luggage claim because then I would have to take them through customs on my own. They are unable to do that...
Thankfully, I am flying out of Detroit so won't have to bother with customs. I can understand their perspective, they can't bring bags into the country for someone else, but I hadn't heard of this before!!!