I remember them doing that before and when we gave them our vouchers along with military ID they loaded the tickets on our bands.
Yes you must go to the ticket window to activate the vouchers. They will put the tickets on your MB at that time.
It may seem to be a minor distinction, but I think it helps when people understand how the system works. Nothing is ON a Magic Band. Not tickets, not fast pass reservations, not credit card information for charging, nothing. It is merely a link to your My Disney Experience account. That is why, for example, all four of the Magic Bands I have I can use interchangeably on any visit.
You can see on the exchange voucher for the Military Salute tickets, that they must be activated:
When you link the ticket entitlement to your
MDE account, using the numbers on the back of the exchange certificate (blacked out in the pic), it shows up in your account like this:
(With different wording if you choose the Water Parks & More option or both that and Park Hopper.)
So when you activate a Military Salute ticket, at a Guest Relations or Ticket Window, if the entitlement is already linked to your MDE, you don't have to do anything else for your Magic Band to work for park entry, fast pass, room key, or charging (if you set charging up at your Disney resort).
Have a great trip!