There are two possible offers here: Express Rail and Rail&Fly.
Rail&Fly is merely a cooperation between Lufthansa and Deutsche Bahn, in which you can get a train ticket to/from the airport as a cheaper bundle with your flight ticket. Your baggage will not be checked through to/from the train.
Additionally, Express Rail takes care to time the trains to align well with your flight, and it allows you to check in your luggage and/or receive it at the AiRail Terminal at the Frankfurt airport, which is at the airport train station:
As a Lufthansa Express Rail passenger, you are responsible for your baggage during the train journey until you drop it off at the AIRail terminal at Frankfurt Airport. On your return journey, you can collect your baggage after landing in Frankfurt from the carousel in the AIRail Terminal and take it straight to your train.
Do note that with both bundles, your train/flight connection appears to be guaranteed, i.e. you'll get a free replacement if a delay on either leg of the journey causes you to miss your connection.
To be clear: under no circumstances will your luggage be loaded onto the train for you. You receive your luggage at Frankfurt airport and take it onto the train yourself. You'll probably be told where exactly at Frankfurt airport you'll receive your luggage at check in time; and it's probably going to be the regular airport luggage carousel, if I'd had to guess.