Let me explain why it is the way it is.
As you've already learned, everyone on every airline can take advantage of the automatic luggage delivery from airport to resort.
It's only for the trip back home that you have to handle your own bags yourself.
When people check their bags with Resort Airline Check-in (the service that let's you check-in for your flight and check your bags through to your flinal destination), the bags must be held in a secure area until they are transported to the airport. At CBR, there isn't enough room. Physically, there isn't enough room. They can handle the current number of bags headed to all the other "participating" airlines, but SOOOOO many people fly Southwest that the amount of luggage would be too much for CBR to securely store at one point.
So until they do some construction work, CBR's Resort Airline Check-in won't be able to accomodate Southwest passengers.
But I think you can understand that there's no need for a secure (as in TSA secure) luggage storage area for luggage coming from the airport to the resort, so that's why everyone on every airline can still get their bags delivered to them on the first day of their vacation.