If you use Disney's Magical Express and your bags are not delivered to your room within 3 hours of checking in at the hotel, you won't know if (A) your bags were not on your flight or (B) your resort is backed up in their deliveries.
So, first, you would call bell services at your resort to see if they have your bags. If they don't have your bags yet, your airline probably failed to load your bags at your home airport or connecting airport.
Keep in mind that it's very rare for an airline to LOSE bags, but it's fairly common for an airline to DELAY bags and load them on a later flight.
One of the great features of Disney's Magical Express is that if your bags are delayed by your airline, they will still be delivered to your resort room. You don't need to do anything. If you're out all day and evening having fun at a Disney park, and your bags are in your room when you return, you might not even know that your airline had you and your bags on different flights.
Disney's Magical Express has a sophisticated tracking system, so they'll know if they received your bags from your airline and where they are now.
You should always have a carry-on with anything you need the first day or even the first 24 hours.
If it turns out that my bags are actually lost (or damaged), I would file a claim with Disney, which should take care of it from there. According to the Terms and Conditions in the Magical Express booklet that's mailed several weeks before travel, Disney provides exactly the same liability for loss as the airlines. In fact, the paragraph even starts off, "Consistent with airline baggage policies, Disney's liability for loss or damage..."
If you get a poorly trained cast member who tells you Disney can do nothing and you need to call contact your airline, escalate to someone higher up.
In a way, it's like being on a connecting flight involving two or more different airlines. You work with the final airline.
The advice in this thread to file a claim with your airline is good if you are NOT using Disney's Magical Express and your bags fail to appear at baggage claim after you arrive at MCO. You fill out a claim form so that the airline can deliver your bags to you after they arrive at MCO. But it's not advice that's applicable if you're using Disney's Magical Express.