What the transportation board is going to tell you is that DME was not intended to be used this way however, nobody will stop you from doing it. The thing to keep in mind is if one or more of your bags gets lost, nobody will know to look for it. The bag search would only happen if you checked in at the DME desk upon arrival. Once you check in, they know to look for your bags. If you never check in, they aren't going to look for them.
You are not supposed to do it but if you do it, you have no recourse for a lost bag. Personally, the 15 minutes I have to wait at the carousel is not worth the risk of spending my vacation with no luggage arriving. We always do a towncar and the wait for luggage is minimal.