Luggage is rarely lost by Magical Express but usually luggage does not get to the resort before you do. The intent is that you would go to a park for a few hours first.
Actually I guess that there is a slightly greater chance of losing luggage brought with you and put under the bus. When the bus stops at each resort someone might grab the wrong bag.
Bring some appropriate clothes such as tee shirt and swim suit in a carry on.
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