They run Magical Express 24/7. After 10pm you do need to pick up any checked luggage and bring it to the bus, they won't grab it for you.
I have a total of 1 late night experience with ME, and it wasn't a very good one. We spent a long time on the bus, waiting for more guests. And then we had the misfortune of being the 4th stop that night. It took us 2 hours from touch down to being at the check in desk.
For my family, if we ever fly in that late again, I will get a towncar. Waiting around during the day is not such a big deal, at night it was a pain.