They don't offer the luggage service to take bags directly from your cruise ship room to your WDW room because you are required to have your bags with you while going through customs. You pick the bags up and then go through the border control. They may do things like a drug screen before you pick them up, but you still have to have the bags with you when talking to the customs official.
I've done the same thing for international flights. When coming back to my first US airport, I have to pick up my luggage, go through customs, and then drop the luggage back off to be checked through to my final US airport. So this is definitely out of Disney's control.