Sorry for the late response - this is in fact true, still being rolled out (along with the new customs procedures ditching the red light/green light roulette.
I learned of this after waiting in CdMx (JFK-MEX T2-ACA, Aeromexico) for my luggage to no avail - I did not know about the new policy.
I think if your bag is tagged with a red (vs the old green in connection tag) - your bag goes right through.
The question I have is what do you do with any duty free booze you purchased? Will they let you through security with it now? Before it was pack it in your bag before you dropped it off on the conveyor - now I do not know.