If I were flying into MCO anytime after 6:00 pm, I think I would most likely go get my own bags. I wouldn't use the yellow luggage tags on them. I have used DME about 3-4 times now, and had very good experiences with it. However, it would be just my luck that it would be my luggage that didn't get to my room until after I had gone to bed. I would rather take the 20 mins or so to retrieve the bags and bring them with me. That way I would have them as soon as I got into my room.
However, if you choose to have DME deliver your bags, and you are concerned about the delivery time, you can tell the front desk that the bags should be held until the next morning. I would also give bell services a heads up on that also. Sure would hate to have them knocking on my door at midnight on my travel to WDW day!!