The biggest problem for some in Mexico is that glass breakage and lost / stolen parts (ubiquitously missing side mirrors) tend to be excluded by most Mexican coverage; make sure whichever insurance you use - your credit card or theirs - cover that.
Secondly, or really firstly, your insurer in Mexico is your guarantor - bail or in case of a serious accident; otherwise, it could be "la cárcel pública de Cancún" (public jail) until it gets sorted out.
Though I've got AMEX, I doubt AMEX is going to send a rep to bail me from the notorious Cancún jail (venue of some riots and prison fights).
Mexico auto insurance - "tu seguro", your insurance primer