That's a key if you want a "rail to plane" setup - if you do it right (read-nobody will do it) you check in for the train with your baggage and your flight at the same time, and give the bags over to a dedicated baggage car that handles everything for you.
Hong Kong recently added this, called In-town Check-in [1]. You can check in and drop your bags at the MTR Hong Kong station when taking the Airport Express. Can even drop off the bags up to a day in advance. Currently only open to Cathay Pacific customers though.
This is not a recent addition. It is more than 10 years old but was shut down during Covid. They are slowly starting to bring it back. It also wasn’t restricted to just Cathay before, but a large number of major airlines had counters at HK Station for check-in services. It’s wonderful - you can check in your bags before heading to work in the morning and in the evening take the train to the airport directly.
There are luggage services that will take your luggage from your home to a hotel. You pay for it obviously but it's not a bad option if you're looking to simplify things.
