I've had 4, not 5. In any event as bdemaria points out you will be picking your bags up at DFW since it's an international arrival and you need to clear customs, so if they won't tag you at MEX you can try to do it at DFW: at that point it's 4 segments and agents used to dealing with complex itins I would guess. But if it's all one ticket my bet is it all pops out at MEX anyway.