I thought i completed what it asked me to…
Hmm, do you have several baggage claim areas? It’s obviously a bug but might explain it. What happens if you reload?
Yes you are. 
You haven’t connected the incoming baggage bay to the baggage claim using the conveyor belts.
I cannot see a underground to overground connection on the baggage loop and there is no connection from arriving baggage in the baggage bay - so bags cannot access the baggage claim loop. I think OP created a baggage loop only then clicked on the room and connected it to the baggage bay without the necessary conveyor connection being in place.
To make this work - use the conveyor belt tools and build a conveyor belt that connects from the baggage bay to the baggage claim. In Airport CEO you have to have the physical connection.
Thanks 