Like the pp, we too have a double baby jogger stroller. We did not use a bag to gate check, but one of the last trips, a wheel fell off (they gave it to us) and our belly bar was broken, so now we have a bag and check it with our luggage, but our kids are walking toddlers, so that works for us.
I think a bag for gate checking is probably just one more thing to carry and juggle through security if your stroller will fold up and no parts come loose.