The participating airline thing only refers to when you LEAVE. If you are on a participating airline you can check in at your resort and just go straight to the gate when you get to the airport.
But anyone, regardless of airline, can put the tags on their luggage at their home airport and have ME get your luggage and deliver it to your room. So you may pick your bags up yourself and bring them to the bus (don't put the tags on that will be mailed to you) but they actually prefer that you just let them take care of them.
So the choice is yours!