It is my understanding that upscale neighborhoods in Mexico City, Cancun, Puerto Vallarta are rather safe to walk, day or night.

It is also my understanding that these "missing person" cases might be related to ransom cases, mostly locals, or to be drug related, locals and tourists.

Tourists do not dare to cross borders with drugs trusting it will be rather easy and cheaper to acquire them locally, the so called "social drugs". It might... but one is also prone to interact with ill-intentioned people and associates. Prices charged might go easily up, an argument ensues with a huge language barrier and vengeance from the dealer and/or associates ensue in the next few hours/days, out of nowhere. A person's life might be the price of vengeance being settled.

Having said that... in CDMX stick to Zona Rosa, Roma, Condesa and Polanco and you will be safe and have lots of fun. Bear in mind that all kind of social drugs or dulces ought to be avoided.

Let us know if you need additional info.