And to slightly expand on what CleveRocks posted, if the airline *does* mishandle your luggage, DME will act as your agent on your behalf. That can be a real time-saver.
If you don't use the DME tags and a bag is mis-handled by the airline, the time it takes adds up: standing around the carousel long enough until you've decided that the bag really isn't coming, going to the baggage office and talking to the agent there (and probably filling out paperwork), tell them where you'll be so they can bring the bag to you, and then *finally* leaving to go down to the DME desk to get on a bus. In all that extra time it's quite probable that you'd already be well on your way to your hotel, if not already there.
If you do use DME's baggage service and the bag is mis-handled, all of the above steps are taken by the DME people. When you check into DME, you tell them how many bags you checked. If less than that number arrive at the DME luggage center, they'll contact the airline and get the ball rolling. When the bag does eventually show up in Orlando, they'll bring it to your hotel and deliver it to you.
In fact, if you arrive early enough in the day and head out to the parks until late in the evening, a mis-handled bag could have been tracked down by DME, processed and delivered to your room, joining the others already there, without you even knowing it was mis-handled. (Though a keen eye might be able to spot additional tags put on the bag by the airline during its relocation to Orlando)
I see the DME luggage service as a convenience as well as "insurance" against wasting my own time while on vacation.
-Rob