I’m of a different opinion than most of the above folks. And that’s okay, it’s okay that we all have different ways of looking at things and different preferences.
When I arrive late (but before 10 p.m.), I always have DME get my checked bags, and always have my resort’s Bell Services hold my checked bags until I call for them in the morning.
No matter where I fly, I always pack carry-ons with our essential needs for the first 24 hours of our trip. I do this is case the AIRLINE misdirects our luggage. That way, even if my airline accidentally sends my luggage to MCI (Kansas City) instead of MCO (Orlando), we can still start our vacation in total comfort.
This means that I’m arriving with PJs, kids’ sleepytime buddies, allowable toiletries, clothes for the morning, etc. And that means I really don’t care if I have my bags immediately … we have everything we need. I can’t imagine risking leaving all that stuff in my checked bags, because twice in my life (but never at MCO) I’ve lived the nightmare of bags delayed a day or two, so I know from experience how that puts such an inconvenient bummer on the start of a vacation.
But all this is just a matter of opinion. I can understand that others may be uncomfortable waiting 'til morning to know if their bags made it safely or not.