There is a CX desk at the Hong Kong Airport Express station outside the check-in area (outside the ticket barriers, at the right hand end of the checkin desks) that can (I believe) issue tickets. But if for any reason they can't issue it then, yes, I think you will have to take your luggage to the airport (though unless you have a humungous amount this isn't that big a deal with trolleys readily available at both ends of the Airport Express).

At the airport the CX Ticketing counter is at the extreme left hand aisle (aisle A), which means for the shortest walk at the airport you should get on the airport express at the third door from the back.