Magical express has nothing to do with what airport you leave from. It is transportation to and from Orlando international airport to WDW resort. Southwest also DOES participate in the airline check in at the resort so if you rent a car you do not have to check your bags at the airport you can do it right at the resort. We only fly SW and they are fabulous!
Twice we have used SW with magical express and had luggage checked both ways. I think a few years ago they didn't do the bag check, but they started it about 3 years ago I think! That may be where she is getting that from.