Another DME fan here...only our preferred airlines isn't a participating airline, so we can't check bags at the resort prior to departure...but in the process of learning about that service, here's what we discovered that you might find helpful:
1. There are limited hours where you can go check your bags in ... as I recall, you can do this no later than 3 hours prior to depature (that part might be wrong)...AND, the airline check-in desk is only open from around 5 or 6 a.m. til 1 (or maybe 2) in the afternoon...so if you have an early flight, you may not be able to use the service even if your airline participates (that happened to me one year when I used United instead of USAir in order to use the DME return service...our flight was at 6:30 a.m.--the check-in desk wasn't open the morning we left (early enough), and it didn't stay open long enough the day before to allow us to use it, either...
2. If you can use it, it's worth it! DME drops you off at the lowest level, mid-terminal (we always are at the B terminal, not sure how the A terminal works)...so that means schlepping your bags from where DME drops you off up to the ticketing level, and then down to your airline (USAir is all the way at the end of that hallway...it's a looooong way to go hauling suitcases!)...
I suspect there's no more risk of "losing" your luggage w/DME handling it than there is if you check it yourself at the airport...lost luggage is just a risk of air travel these days...
As another poster noted, DME check-in is on the lowest level (3rd) of the B terminal...very easy to find, very easy to check in...
All in all, DME is one of the best services Disney has ever devised!
Happy travels!