No. There is no need to check in the baggages you are travelling with during the booking process, or before your departure as long as you are within the baggage policy.
This is one of the perks of bus travel relative to air travel!
As long as your are within the baggage policy of the company you are travelling with, there is no need to check in your bag before heading to the bus or during the booking process.
Make sure to arrive with sufficient time at the station, and follow the instructions of the bus company staff once you’ve arrived.