Jason - our tickets on Cape Air were not tied to our Delta tickets because I booked them last minute. Perhaps that's the difference? We flew Cape Air to St. Thomas and then Delta to CMH.
MI Diver - heard it's a sheet of ice up north! I understand the load limits because it's a very small plane. Just no good way to account for luggage I guess.

Update: I got tracking numbers from baggage at EIS. They "say" the bags arrived at CMH last night. Currently trying to confirm that before heading to the airport .....