I also have this problem. When I choose boarding or deboarding the stairs appear, the passenger bus appears, the baggage carts appear, but the baggage loader does not. The cargo doors are open, however I was never asked to open them. After boarding/deboarding I'm also not asked to close them.
The aircraft used is the PMDG 737NGX, 737-800 model. The sceneries used are Aerosoft Mega Airport London Heathrow and Amsterdam. Parking at Heathrow was gate 421 and at Amsterdam gate D57. I hope someone can tell me what causes this behaviour.
EDIT
The operation sequence is as follows: whenever I start a flight, I begin with boarding. After that, I have my aircraft pushed back by the GSX crew. After arriving at the destination I select the desired gate and taxi to it. I don't follow the marshaller's signs because these sceneries feature automatic guidance systems for parking. After cutting the engines and going through the shutdown flow, I select deboarding.