I want to make sure I'm giving the right info. I'm going by the reservation information that we had (before cancelling). Hopefully someone can confirm.
Yes, your luggage goes under the bus (currently), and you take it with you to your room/check-in. I would prefer this also because I have heard (and they have a disclaimer) that your luggage can arrive after you do. But I think for a lot of people, not handling the luggage was part of the "Magic" of Magical Express. Anyways, just mentioned since you were deciding between carry-on and checked.
We took a taxi minivan from the airport. It was at the curb waiting and I asked for a flat rate. It was $50 which was the same as Uber/Lyft XL at the time (almost midnight, so fewer rideshares around).
On the return we used Lyft XL which was $45. This gave us an extra 95 minutes at MK and the pool compared to our pickup time with Magical Express. Their paperwork says they get you to the airport at least 2 hours before domestic and 3 hours before international. But they can make multiple pickups at resorts, so depending on where you are in the list, it could be 3+ hours before your flight, which was our case. We got an envelope under our door on our last night with the pickup time. After seeing it I just called the number to cancel our pickup. No biggie at all.