You are legally required to purchase Mexican car insurance, and even if you could get out of the rental office without it, that would be a bad idea for a number of reasons such as being detained until you can prove to the authorities satisfaction you can cover the cost of any accident, which could take quite a while with the US based insurance. Just plan on paying for insurance.

Otherwise, have a great time! I've heard the ATV rides out in the desert are a lot of fun.