That's what I figured. I have quite a few Mexican friends and they tell me all sorts of horror stories about Mexican customs. Indeed, in the last couple of years (I'm not sure if they're doing it currently), the Mexican government went so far as to organize federal police escorts for convoys of Mexican nationals visiting the country from Texas (as I recall, they ran the escorts from Nuevo Laredo to Monterrey). The idea, basically, was to get them through the initial border crossing, the 20 km checkpoint, and any "random" inspections without undue hassle.

A lot of imported goods are substantially more expensive when purchased in Mexico rather than the U.S. This creates substantial incentives for Mexicans to purchase abroad, and great opporunities for Aduana to hit the paisanos up for "tips." Not so nice.