" doesn't your luggage have to accompany you through Customs?"
Not sure if that is true in all cases. One time coming back from SXM through San Juan our luggage never showed in San Juan. Crew was waiting for the group whose luggage was held back because of weight. I was told luggage would be delivered to our home next day. And it was.
Same thing happened in Canada returning from skiing. As we pulled from the gate I could see my skis and others bags on the ground. Upon arriving in SEA I was told they will be coming on another flight ad were delivered to our home next day.
I presume having your bags go through this service for 29 a bag is the same as shipping internationally and the carrier does the custom formalities.