I've got a ticket on flyDubai from Jedda to Dubai to Dhaka. The flight will transit in Dubai for 11 hours. The connecting flight to Dhaka will be on the same airline and depart from the same terminal (T-2).
On my ticket, it says, "Baggage not checked through." What does this mean? Do I need to collect my baggage in Dubai and check in again?
Yes. Checked through means that it is tagged to your destination airport. Not checked through means that it is tagged with an intermediate airport. In this case Dubai as it is your only stop. Therefore you must collect the bag and check it back in where they will produce another luggage tag with your final destination.
Often baggage gets checkout through when the connection is through the same airport but there can be a wide range of reasons why it does not happen, such as cost, local policies, timing, etc.
Along with @Itai's answer, that will mean you will need a visa for the UAE, if you are a Bangladeshi citizen.
If you are a resident of Saudi Arabia (or another GCC country), and your residence permit expires in more than 1 year on your date of entry, you will need an eVisa. According to eVisa for GCC residents:
GCC residents and their companions need to apply online for a visa and must obtain the same before arriving in the UAE.
If you are not a GCC resident, or if your Saudi residence expires in less than a year, you will need to arrange a visa by calling flydubai travel shops. According to UAE visas with flydubai:
Passport holders of all other countries need to have pre-arranged visas. There are various types of visa options available as per your choice. Visa validity varies from 30 days to 60 days with single and multiple entry options.
