If you got in from Amsterdam was that on Martinair? Because they seem to arrive at Airside 1 (gates 1-29) while Lufthansa arrives at Airside 4 (gates 60-99). We never had to give up our bags at MCO when arriving with LH. Actually, just before our 2008 trip it was announced that you now had the option of keeping the bag with you to make it easier for travelers. The MCO arrival guide even explains the difference between Airside 1 and Airside 4 international arrivals:
http://www.orlandoairports.net/arrive/index.htm
I agree with you that this would be extremely confusing and difficult for foreigners arriving at MCO for the first time. And I think it would be a great point for making use of ME's luggage transfer if you arrive internationally at Airside 1!
And the additional security check-point would have surprised me as well.