Hello Blakey
Yes, Saver Day Passes are valid on any connection. It is valid on the date of validity until the next morning at 5 AM. It is not valid beyond Zermatt, however.
If you are going to spend more than CHF 240 per person on ticket costs, it would have been wise to purchase the Swiss Half Fare Card in addition. Now it is too late for it, as you already purchased the Saver Day Passes.
There is no baggage transport service from Klein Matterhorn back to Zermatt, at least not by SBB. You would have to contact Matterhorn Glacier Paradise organisation to know.
https://www.matterhornparadise.ch/de
Kind regards,
Roland