can't say for certain about MX, but I can tell you that we did DELTA -->Aeromexico connection two weeks ago (ATL-MEX-PVR) and our bags were checked all the way through to PVR.
We cleared Mexican customs/immigration in MEX, but did ***NOT*** need to collect our bags to do so. This was announced at the gate as we disembarked and I asked two other DL employees to be 101% sure. Repeat -- we did NOT collect our bags in MEX ... they rolled off the belt in PVR with no issues.