We've transferred several times with no issues whatsoever. Our experience has been the luggage picked up before 11 is available after 2. It's like Magical Express - if you want it right away, don't let Disney handle it. If you're going to a park before checking in, or just don't want to deal with it, it's a great perk.
In one case, we called too soon before an ADR for breakfast, so they told us to leave it in the room by the door and they'd take it. No problem at all. Just left a note confirming transfer to SSR and a $10 tip for our 5 bags.
Dirk