The only bags that "magically show up in your room" are the bags that you check with your airline at your home airport. At home, you'll put the bright yellow tag around the handle, and, at the airport, the airline will put a regular "MCO" destination tag on the handle. Then, at Orlando Int'l Airport, Disney takes control such bags "behind the scenes," sorts them, and takes them to WDW resort hotels on trucks.
Yellow-tagged bags never go on the DME motorcoaches.
Putting a yellow tag on a carry-on bag accomplishes nothing. The driver can load your carry-on bags into the baggage hold of your DME motorcoach, but the bags will be returned to you when you reach your resort. You would then carry your own carry-ons to your room.